Analyzing Oil Futures with a Dynamic Nelson-Siegel Model

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Abstract

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.

Original languageEnglish
JournalJournal of Futures Markets
Volume36
Issue2
Pages (from-to)153-173
Number of pages21
ISSN0270-7314
DOIs
Publication statusPublished - 2016

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