Supplementary Material: Which Risk Factors Drive Oil Futures Price Curves?

18 Pages Posted: 16 Jan 2019

See all articles by Matthew Ames

Matthew Ames

The Institute of Statistical Mathematics

Guillaume Bagnarosa

ESC Rennes School of Business

Tomoko Matsui

Independent

Gareth Peters

University of California Santa Barbara; University College London - Department of Statistical Science; University of Oxford - Oxford-Man Institute of Quantitative Finance; London School of Economics & Political Science (LSE) - Systemic Risk Centre; University of New South Wales (UNSW) - Faculty of Science; Macquarie University - Department of Actuarial Studies and Business Analytics

Pavel V. Shevchenko

Macquarie University - Department of Actuarial Studies and Business Analytics

Date Written: January 9, 2019

Abstract

Full paper available at: https://ssrn.com/abstract=2840730

This supplementary material to "Which Risk Factors Drive Oil Futures Price Curves?" includes the derivation of the futures price expression, details of the Kalman Filter utilised, and the equation for the sensitivity of the expected backwardation to parameter shocks. Results plots for other data periods, and descriptive statistics of the data are also presented. Furthermore, results for the HMF model and stepwise HMF model fits are given for other data periods. Finally, results for the beta and gamma Versions of the HMF model are detailed.

Keywords: Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure

JEL Classification: C01, C1, C5, G13, Q02

Suggested Citation

Ames, Matthew and Bagnarosa, Guillaume and Matsui, Tomoko and Peters, Gareth and Shevchenko, Pavel V., Supplementary Material: Which Risk Factors Drive Oil Futures Price Curves? (January 9, 2019). Available at SSRN: https://ssrn.com/abstract=3312707 or http://dx.doi.org/10.2139/ssrn.3312707

Matthew Ames (Contact Author)

The Institute of Statistical Mathematics ( email )

Tokyo
Japan

Guillaume Bagnarosa

ESC Rennes School of Business ( email )

2, RUE ROBERT D'ARBRISSEL
Rennes, 35065
France

Tomoko Matsui

Independent ( email )

Gareth Peters

University of California Santa Barbara ( email )

Santa Barbara, CA 93106
United States

University College London - Department of Statistical Science ( email )

1-19 Torrington Place
London, WC1 7HB
United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )

University of Oxford Eagle House
Walton Well Road
Oxford, OX2 6ED
United Kingdom

London School of Economics & Political Science (LSE) - Systemic Risk Centre ( email )

Houghton St
London
United Kingdom

University of New South Wales (UNSW) - Faculty of Science ( email )

Australia

Macquarie University - Department of Actuarial Studies and Business Analytics ( email )

Australia

Pavel V. Shevchenko

Macquarie University - Department of Actuarial Studies and Business Analytics ( email )

Australia

HOME PAGE: http://www.mq.edu.au/research/centre-for-risk-analytics/pavel-shevchenko

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