Supplementary Material: Which Risk Factors Drive Oil Futures Price Curves?
18 Pages Posted: 16 Jan 2019
Date Written: January 9, 2019
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: Suggested Citation