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Título:
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Long-term swings and seasonality in energy markets
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Autores:
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Moreno, Manuel ;
Novales Cinca, Alfonso ;
Platania, Federico
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Tipo de documento:
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texto impreso
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Editorial:
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Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE), 2019
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc_sa
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias: Matemáticas: Procesos estocásticos
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Materia = Ciencias: Estadística: Investigación Comercial
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Materia = Ciencias Sociales: Economía: Econometría
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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This paper introduces a two-factor continuous-time model for commodity pricing under the assump- tion that prices revert to a stochastic mean level, which shows smooth, periodic fluctuations over long periods of time. We represent the mean reversion price by a Fourier series with a stochastic component. We also consider a seasonal component in the price level, an essential characteristic of many commodity prices, which we represent again by a Fourier series. We obtain analytical pricing expressions for futures contracts. Using futures price data on Natural Gas, we provide evidence on the presence of long-term fluctuations and show how to estimate the long-term component si- multaneously with a seasonal component using the Kalman filter. We analyse the in-sample and out-of-sample empirical performance of our pricing model with and without a seasonal component and compare it with the Schwartz and Smith (2000) model. Our findings show the in-sample and out-of-sample superiority of our model with seasonal fluctuations, thereby providing a simple and powerful tool for portfolio management, risk management, and derivative pricing.
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En línea:
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https://eprints.ucm.es/57379/1/1929.pdf
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