Latent jump diffusion factor estimation for commodity futures

被引:2
作者
Dempster, M. A. H. [1 ,2 ]
Medova, Elena [1 ,2 ]
Tang, Ke [3 ]
机构
[1] Univ Cambridge, Stat Lab, Ctr Financial Res, Cambridge, England
[2] Cambridge Syst Associates Ltd, Cambridge, England
[3] Tsinghua Univ, Sch Social Sci, Beijing, Peoples R China
关键词
Latent factors; Jumps; Non-Gaussian state space models; Modified Kalman filter; Commodity futures; STOCHASTIC CONVENIENCE YIELD; STATE-SPACE MODELS; INTEREST-RATES; STOCK RETURNS; TIME-SERIES; PRICES; VALUATION; BEHAVIOR; OPTIONS;
D O I
10.1016/j.jcomm.2018.01.001
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We introduce a new methodology to estimate the latent factors of a jump diffusion illustrated with an application to the commodity futures term structure. Specifically, we propose a new state space form and then use a modified Kalman filter to estimate models with latent jump-diffusion factors. The method is applied to oil and copper futures prices to pin down long and short term jumps in their futures term structure. Estimates of jump arrival times indicate that both important information surprises and market activities generate jumps of different intensities.
引用
收藏
页码:35 / 54
页数:20
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