A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling
This work studies the term structure dynamics in the natural gas futures market, focusing on the Dutch Title Transfer Facility (TTF) daily futures prices. At first, using the whole dataset, we compared the in-sample fitting performance of three models: the four-factor dynamic Nelson–Siegel–Svensson...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-06-01
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| Series: | Energies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1996-1073/16/12/4746 |