Nomikos, Nikos K.; Pouliasis, Panos K. - In: Journal of Futures Markets 35 (2015) 2, pp. 163-185
<section xml:id="fut21657-sec-0001"> This study investigates the dependence structure between correlated petroleum forward curves. After decomposing the term structure into level, slope, and curvature shocks we develop a flexible multi‐regime error‐correction factor model of the dynamics of the joint evolution of commodity...</section>