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Segmentation in the Crude Oil Futures Term Structure
Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2005
article investigates whether this market is segmented or not. Segmentation is defined as a situation in which different parts … of the prices curve are disconnected from each other. Consequently, the information conveyed by certain prices is useless …
Persistent link: https://www.econbiz.de/10011072171
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The term structure of crude oil futures prices : a principal component analysis
Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2005
Examines the movements of the crude oil futures prices' curve in Great Britain. Relationship between the spot price and futures prices for different delivery dates; Problems in identifying the crude oil prices' movements; Factors that affect the movements of crude oil prices.
Persistent link: https://www.econbiz.de/10010905255
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Term structure of crude oil futures prices : a principal component analysis.
Lautier, Delphine - Université Paris-Dauphine - 2005
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...
Persistent link: https://www.econbiz.de/10008532380
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The informational value of crude oil futures prices.
Lautier, Delphine - Université Paris-Dauphine
maturities (as far as seven years) and compares their informational value for various delivery dates. Segmentation is defined as … a situation where different parts of the prices curve are disconnected from each other’s. Consequently, the information …
Persistent link: https://www.econbiz.de/10008532638
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The informational value of crude oil futures prices
Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2003
maturities (as far as seven years) and compares their informational value for various delivery dates. Segmentation is defined as … a situation where different parts of the prices curve are disconnected from each other’s. Consequently, the information …
Persistent link: https://www.econbiz.de/10010707829
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The Determinants Of Volatility On The American Crude Oil Futures Market
Riva, Fabrice; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2008
to reach this objective, price fluctuations are separated into two components: an information component that reflects a … rational assessment of the information arrival, and an error component that represents the noise introduced by the trading …
Persistent link: https://www.econbiz.de/10010708916
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The Determinants Of Volatility On The American Crude Oil Futures Market.
Riva, Fabrice; Lautier, Delphine - Université Paris-Dauphine - 2008
to reach this objective, price fluctuations are separated into two components: an information component that reflects a … rational assessment of the information arrival, and an error component that represents the noise introduced by the trading …
Persistent link: https://www.econbiz.de/10008572189
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Simple and extended Kalman filters : an application to term structures of commodity prices
Galli, Alain; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2004
presence of a large information volume. The first filter presented, which corresponds to the simplest version of a Kalman …
Persistent link: https://www.econbiz.de/10010905031
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Simple and extended Kalman filters : an application to term structures of commodity prices.
Galli, Alain; Lautier, Delphine - Université Paris-Dauphine - 2004
presence of a large information volume. The first filter presented, which corresponds to the simplest version of a Kalman …
Persistent link: https://www.econbiz.de/10008572192
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Risk Premia and the VIX Term Structure
Johnson, Travis L. - 2018
The shape of the VIX term structure conveys information about the price of variance risk rather than expected changes … information, predicting the excess returns of S&P 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to …
Persistent link: https://www.econbiz.de/10012937549