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

18 Pages Posted: 16 Jan 2019

See all articles by Matthew Ames

Matthew Ames

ResilientML; The Institute of Statistical Mathematics

Guillaume Bagnarosa

ESC Rennes School of Business

Tomoko Matsui

The Institute of Statistical Mathematics

Gareth Peters

University of California Santa Barbara; University of California, Santa Barbara

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 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)

ResilientML ( email )

Melbourne
Australia

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

The Institute of Statistical Mathematics ( email )

10-3 Midori-cho
Tachikawa-shi
Tokyo, 1908562
Japan

Gareth Peters

University of California Santa Barbara ( email )

Santa Barbara, CA 93106
United States

University of California, Santa Barbara ( email )

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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