This article presents and compares two different Kalman filters. These methods provide a very interesting way to cope with the presence of non-observable variables, which is a frequent problem in finance. They are also very fast even in the presence of a large information volume. The first...

Cet article s’appuie sur une analyse en composantes principales pour identifier les mouvements des courbes de prix du pétrole brut. L’étude confirme que trois composantes permettent d’expliquer les fluctuations des prix à terme : déplacement parallèle, pentification, et courbure. De...

Whereas the spatial integration has already been examined in commodity markets, empirical tests on temporal integration have never been carried out. Relying on the “preferred habitat” theory, which is applied to the crude oil market, this article investigates whether this market is segmented...