ANALYZING OIL FUTURES WITH A DYNAMIC NELSON-SIEGEL MODEL

摘要

The dynamic Nelson-Siegel model is used to model the term structure of futures contracts on oil and obtain forecasts of prices of these contracts. Three factors are extracted and modelled in a very flexible framework. The outcome of this exercise is a class of models which describes the observed prices of futures contracts well and performs better than conventional benchmarks in realistic real-time out-of-sample exercises. (C) 2015 Wiley Periodicals, Inc.