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http://bura.brunel.ac.uk/handle/2438/10138
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DC Field | Value | Language |
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dc.contributor.author | Date, P | - |
dc.contributor.author | Mamon, R | - |
dc.contributor.author | Tenyakov, A | - |
dc.date.accessioned | 2015-02-06T11:48:33Z | - |
dc.date.available | 2013-11 | - |
dc.date.available | 2015-02-06T11:48:33Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Energy Economics, 40 pp. 1001 - 1013, 2013 | en_US |
dc.identifier.issn | 0140-9883 | - |
dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S0140988313001047 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/10138 | - |
dc.description.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. | en_US |
dc.format.extent | 1001 - 1013 | - |
dc.format.extent | 1001 - 1013 | - |
dc.language | eng | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.subject | Change of measure | en_US |
dc.subject | Markov chain | en_US |
dc.subject | Multivariate HMM filtering | en_US |
dc.subject | Oil future prices | en_US |
dc.title | Filtering and forecasting commodity futures prices under an HMM framework | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1016/j.eneco.2013.05.016 | - |
dc.relation.isPartOf | Energy Economics | - |
dc.relation.isPartOf | Energy Economics | - |
pubs.volume | 40 | - |
pubs.volume | 40 | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Engineering, Design and Physical Sciences | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Engineering, Design and Physical Sciences/Dept of Mathematics | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Engineering, Design and Physical Sciences/Dept of Mathematics/Mathematical Sciences | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups/Centre for Research into Entrepreneurship, International Business and Innovation in Emerging Markets | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute of Cancer Genetics and Pharmacogenomics | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Centre for Systems and Synthetic Biology | - |
Appears in Collections: | Dept of Mathematics Research Papers |
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