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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/10138
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dc.contributor.authorDate, P-
dc.contributor.authorMamon, R-
dc.contributor.authorTenyakov, A-
dc.date.accessioned2015-02-06T11:48:33Z-
dc.date.available2013-11-
dc.date.available2015-02-06T11:48:33Z-
dc.date.issued2013-
dc.identifier.citationEnergy Economics, 40 pp. 1001 - 1013, 2013en_US
dc.identifier.issn0140-9883-
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S0140988313001047-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/10138-
dc.description.abstractWe 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.en_US
dc.format.extent1001 - 1013-
dc.format.extent1001 - 1013-
dc.languageeng-
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.subjectChange of measureen_US
dc.subjectMarkov chainen_US
dc.subjectMultivariate HMM filteringen_US
dc.subjectOil future pricesen_US
dc.titleFiltering and forecasting commodity futures prices under an HMM frameworken_US
dc.typeArticleen_US
dc.identifier.doihttp://dx.doi.org/10.1016/j.eneco.2013.05.016-
dc.relation.isPartOfEnergy Economics-
dc.relation.isPartOfEnergy Economics-
pubs.volume40-
pubs.volume40-
pubs.organisational-data/Brunel-
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pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Engineering, Design and Physical Sciences/Dept of Mathematics-
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