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An application of models of speculative behaviour to oil prices

✍ Scribed by Shuping Shi; Vipin Arora


Book ID
116423275
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
426 KB
Volume
115
Category
Article
ISSN
0165-1765

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## Abstract This article studies the ability of an N‐factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches of aggregating data for a set of maturities. A Kalman filter estim