A functional time series analysis of forward curves derived from commodity futures

Lajos Horváth; Zhenya Liu; Gregory Rice; Shixuan Wang

doi:10.1016/j.ijforecast.2019.08.003

Journal Articles International Journal of Forecasting Year : 2020

A functional time series analysis of forward curves derived from commodity futures

, (1) , ,

1

Lajos Horváth

Function : Author

Zhenya Liu

Function : Author
PersonId : 791578
ORCID : 0000-0003-2237-3257

Centre d'Études et de Recherche en Gestion d'Aix-Marseille

Gregory Rice

Function : Author

Shixuan Wang

Function : Author
PersonId : 791579
ORCID : 0000-0003-2113-5521

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Economics and Finance

Nicolas Aubert : Connect in order to contact the contributor

https://hal.science/hal-03513421

Submitted on : Wednesday, January 5, 2022-7:08:04 PM

Last modification on : Monday, September 2, 2024-3:09:06 PM

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hal-03513421 , version 1 (05-01-2022)

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HAL Id : hal-03513421 , version 1
DOI : 10.1016/j.ijforecast.2019.08.003

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Lajos Horváth, Zhenya Liu, Gregory Rice, Shixuan Wang. A functional time series analysis of forward curves derived from commodity futures. International Journal of Forecasting, 2020, 36 (2), pp.646-665. ⟨10.1016/j.ijforecast.2019.08.003⟩. ⟨hal-03513421⟩

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A functional time series analysis of forward curves derived from commodity futures

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