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An information diffusion-based model of oil futures price

✍ Scribed by Li, Ziran; Sun, Jiajing; Wang, Shouyang

Book ID
121818302
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
517 KB
Volume
36
Category
Article
ISSN
0140-9883

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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