An N‐factor Gaussian model of oil futures prices

By Gonzalo Cortazar, Lorenzo Naranjo. 2006

126 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/d24f1a98eaab0da7cb8b2f1720f6b95c561a0b6d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Nina Lange
2. Francisco Eterovic
3. Gonzalo Cortazar
4. S. A. Abdel Sabour
5. R. Poulin

Citations in the corpus

• Can oil prices help estimate commodity futures prices? The cases of copper and silver (2010, background): “…stationary state variables are added, some of them shared across different commodities The paper starts by modeling a single commodity following Cortazar & Naranjo (2006): lnSt ¼ 1uxtþmt dxt ¼ ð Kxt lÞdtþSdwt Then, the model is extended to include m commodities, all of them sharing p common…”
• Correlation in Energy Markets (2017, background): “Studies by Cortazar and Naranjo (2006), Trolle and Schwartz (2009), Chiarella et al. (2013) all present a joint model for the term structure of futures prices and option prices.”