Analyzing Oil Futures with a Dynamic Nelson-Siegel Model
作者： Niels S. GrØnborg , Asger Lunde
DOI: 10.1002/FUT.21713
关键词: Oil futures 、 Outcome (game theory) 、 Mathematical economics 、 Econometrics 、 Term (time) 、 Futures contract 、 Economics
摘要: The dynamic Nelson–Siegel model is used to the term structure of futures contracts on oil and obtain forecasts prices these contracts. Three factors are extracted modelled in a very flexible framework. outcome this exercise class models which describes observed well performs better than conventional benchmarks realistic real‐time out‐of‐sample exercises. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:153–173, 2016
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