• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail

The term structure of crude oil futures prices : a principal component analysis

Lautier, Delphine (2005), The term structure of crude oil futures prices : a principal component analysis, Banque & marchés, 76, p. 72-80

View/Open
Lautier_cereg200402_4.PDF (300.7Kb)
Type
Article accepté pour publication ou publié
Date
2005
Journal name
Banque & marchés
Number
76
Pages
72-80
Metadata
Show full item record
Author(s)
Lautier, Delphine
Abstract (FR)
Cet article s’appuie sur une analyse en composantes principales pour identifier les mouvements des courbes de prix du pétrole brut. L’étude confirme que trois composantes permettent d’expliquer les fluctuations des prix à terme : déplacement parallèle, pentification, et courbure. De plus, deux conclusions sont obtenues, concernant, d’une part, l’évolution de la dynamique des prix sur longue période, et d’autre part, l’influence de la maturité sur cette dynamique. Les composantes apparaissent comme stables, et le comportement des prix à long terme comme plus complexe.
Abstract (EN)
Examines the movements of the crude oil futures prices' curve in Great Britain. Relationship between the spot price and futures prices for different delivery dates; Problems in identifying the crude oil prices' movements; Factors that affect the movements of crude oil prices.
Subjects / Keywords
Crude oil; Term Structure; Future Prices
JEL
O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products
G13 - Contingent Pricing; Futures Pricing

Related items

Showing items related by title and author.

  • Thumbnail
    Shock propagation across the futures term structure: evidence from crude oil prices 
    Lautier, Delphine; Raynaud, Franck; Robe, Michel (2019) Article accepté pour publication ou publié
  • Thumbnail
    Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices 
    Lautier, Delphine; Raynaud, Franck; Robe, Michel (2018) Communication / Conférence
  • Thumbnail
    Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices 
    Lautier, Delphine; Raynaud, Franck; Robe, Michel (2017) Communication / Conférence
  • Thumbnail
    Shocks propagation across the futures term structure : evidence from crude oil prices 
    Lautier, Delphine; Raynaud, Franck; Robe, Michel (2017) Communication / Conférence
  • Thumbnail
    Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices 
    Lautier, Delphine; Raynaud, Franck; Robe, Michel (2014-08) Document de travail / Working paper
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo