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dc.contributor.authorLautier, Delphine
dc.date.accessioned2011-01-13T11:51:15Z
dc.date.available2011-01-13T11:51:15Z
dc.date.issued2005
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5471
dc.language.isoenen
dc.subjectOilen
dc.subjectTechnologyen
dc.subject.ddc332en
dc.subject.classificationjelC52en
dc.subject.classificationjelG13en
dc.subject.classificationjelC13en
dc.titleA Matter of Principalen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenDeveloping term structure models can be tricky, as unknown factors and non-observable variables can affect futures prices. But principal components analysis is useful in tackling these problems. Here, Delphine Lautier uses PCA to pin down price movements, test their stability over time and to discover whether the maturity date affects price dynamics.en
dc.relation.isversionofjnlnameEnergy Risk
dc.relation.isversionofjnldate2005-11
dc.relation.isversionofjnlpages58-62en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherRisk.neten
dc.subject.ddclabelEconomie financièreen


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