Analyzing Oil Futures with a Dynamic Nelson-Siegel Model

TY - JOUR

T1 - Analyzing Oil Futures with a Dynamic Nelson-Siegel Model

AU - Hansen, Niels Strange

AU - Lunde, Asger

PY - 2016

Y1 - 2016

N2 - The dynamic Nelson-Siegel model is used to model the term structure of futures contracts on oil and obtain forecasts of prices of these contracts. Three factors are extracted and modelled in a very flexible framework. The outcome of this exercise is a class of models which describes the observed prices of futures contracts well and performs better than conventional benchmarks in realistic real-time out-of-sample exercises.

AB - The dynamic Nelson-Siegel model is used to model the term structure of futures contracts on oil and obtain forecasts of prices of these contracts. Three factors are extracted and modelled in a very flexible framework. The outcome of this exercise is a class of models which describes the observed prices of futures contracts well and performs better than conventional benchmarks in realistic real-time out-of-sample exercises.

UR - http://www.scopus.com/inward/record.url?scp=84956742375&partnerID=8YFLogxK

U2 - 10.1002/fut.21713

DO - 10.1002/fut.21713

M3 - Journal article

SN - 0270-7314

VL - 36

SP - 153

EP - 173

JO - Journal of Futures Markets

JF - Journal of Futures Markets

IS - 2

ER -