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Ames, Matthew [Author] ; Bagnarosa, Guillaume [Other]; Matsui, Tomoko [Other]; Peters, Gareth [Other]; Shevchenko, Pavel V. [Other]

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  • Media type: E-Book
  • Title: Supplementary Material : Which Risk Factors Drive Oil Futures Price Curves?
  • Contributor: Ames, Matthew [Author]; Bagnarosa, Guillaume [Other]; Matsui, Tomoko [Other]; Peters, Gareth [Other]; Shevchenko, Pavel V. [Other]
  • Published: [S.l.]: SSRN, [2020]
  • Extent: 1 Online-Ressource (18 p)
  • Language: English
  • DOI: 10.2139/ssrn.3312707
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 9, 2019 erstellt
  • Description: Full paper available at: "https://ssrn.com/abstract=2840730" https://ssrn.com/abstract=2840730This supplementary material to "Which Risk Factors Drive Oil Futures Price Curves?" includes the derivation of the futures price expression, details of the Kalman Filter utilised, and the equation for the sensitivity of the expected backwardation to parameter shocks. Results plots for other data periods, and descriptive statistics of the data are also presented. Furthermore, results for the HMF model and stepwise HMF model fits are given for other data periods. Finally, results for the beta and gamma Versions of the HMF model are detailed
  • Access State: Open Access