Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 4 of 4 for “"forward curves"”.
-
Canonical correlation of shipping forward curves
… and interrelations between the main shipping forward curves are analyzed using multivariate statistics after removing the volatility distortions dictated by the Samuelson hypothesis. Principal Components Analysis and Canonical Correlation analysis were used to demonstrate how the task of …
-
Estimating Spot Price and Smooth Forward Curve in Electricity Markets with Bayesian Penalized Spline
… penalized spline approach to constructing smooth forward curves in electricity markets. Since electricity should be delivered as a continuous flow, power contracts have settlement periods rather than a fixed delivery time. In addition, electricity forward curves have strong seasonal shape. Our …
-
Modelling energy markets and pricing energy derivatives
… Motion specifications. In Chapter-4 we use a forward curve approach as an alternative-modelling framework to the spot price models. Based upon an almost proprietary data set of historical forward curves, we determine the number of independent factors that are needed to model the forward …
-
Modelling interdependence in a pair of heating oil and natural gas futures curves
… for the joint modelling of several futures curves proposed by Ohana (2010). The key innovation is the incorporation of dynamic conditional correlation models based on hierarchical Archimedian copula (HAC-DCC). The conducted analysis allowed to forecast the distribution of the returns of any …