Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/10138
Title: | Filtering and forecasting commodity futures prices under an HMM framework |
Authors: | Date, P Mamon, R Tenyakov, A |
Keywords: | Change of measure;Markov chain;Multivariate HMM filtering;Oil future prices |
Issue Date: | 2013 |
Publisher: | Elsevier |
Citation: | Energy Economics, 40 pp. 1001 - 1013, 2013 |
Abstract: | We propose a model for the evolution of arbitrage-free futures prices under a regime-switching framework. The estimation of model parameters is carried out using the hidden Markov filtering algorithms. Comprehensive numerical experiments on real financial market data are provided to illustrate the effectiveness of our algorithm. In particular, the model is calibrated with data from heating oil futures and its forecasting performance as well as statistical validity is investigated. The proposed model is parsimonious, self-calibrating and can be very useful in predicting futures prices. © 2013 Elsevier B.V. |
URI: | http://www.sciencedirect.com/science/article/pii/S0140988313001047 http://bura.brunel.ac.uk/handle/2438/10138 |
DOI: | http://dx.doi.org/10.1016/j.eneco.2013.05.016 |
ISSN: | 0140-9883 |
Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Fulltext.pdf | 466.67 kB | Adobe PDF | View/Open |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.