A Proposal to Fix the Number of Factors on Modeling the Dynamics of Futures Contracts on Commodity Prices
In the literature on modeling commodity futures prices, we find that the stochastic behavior of the spot price is a response to between one and four factors, including both short- and long-term components. The more factors considered in modeling a spot price process, the better the fit to observed f...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-06-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/8/6/973 |