Horvath Lajos,刘振亚,Rice Gregory,Wang Shixuan——INTERNATIONAL JOURNAL OF FORECASTING:A functional time series analysis of forward curves derived from c...
时间:2020-04-01
We study forward curves formed from commodity futures prices listed on the Standard and Poor's-Goldman Sachs Commodities Index (S&P GSCI) using recently developed tools in functional time series analysis. Functional tests for stationarity and serial correlation suggest that log-differenced forward curves may be generally considered as stationary and conditionally heteroscedastic sequences of functions. Several functional methods for forecasting forward curves that more accurately reflect the tim