Analyzing Oil Futures with a Dynamic Nelson-Siegel Model

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

In: Journal of Futures Markets, Vol. 36, No. 2, 2016, p. 153-173.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

@article{865b2fbec1ac411d82c421130c813325,

title = "Analyzing Oil Futures with a Dynamic Nelson-Siegel Model",

author = "Hansen, {Niels Strange} and Asger Lunde",

year = "2016",

doi = "10.1002/fut.21713",

language = "English",

volume = "36",

pages = "153--173",

journal = "The Journal of Futures Markets",

issn = "0270-7314",

publisher = "Wiley",

number = "2",

}

TY - JOUR

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

AU - Hansen, Niels Strange

AU - Lunde, Asger

PY - 2016

Y1 - 2016

U2 - 10.1002/fut.21713

DO - 10.1002/fut.21713

M3 - Journal article

VL - 36

SP - 153

EP - 173

JO - The Journal of Futures Markets

JF - The Journal of Futures Markets

SN - 0270-7314

IS - 2

ER -

Department of Economics and Business Economics