Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/146972
Title: FORECASTING THE TERM STRUCTURE OF FUTURES PRICES USING A FUNCTIONAL AUTOREGRESSIVE MODEL.
Authors: FOONG WAN LING VALERIE
Keywords: functional autoregressive, natural gas futures term structure
Issue Date: 9-Apr-2018
Citation: FOONG WAN LING VALERIE (2018-04-09). FORECASTING THE TERM STRUCTURE OF FUTURES PRICES USING A FUNCTIONAL AUTOREGRESSIVE MODEL.. ScholarBank@NUS Repository.
Abstract: Since the deregulation of the natural gas industry, the natural gas futures market has become important to financial market participants and policymakers alike. This thesis aims to forecast the term structure of natural gas futures prices using a novel method, the Functional Autoregressive (FAR) model, which belongs to the relatively new field of functional data analysis. Specifically, we estimate the model using the Fourier basis system and method of sieves. When sufficient data is available for accurate estimation, the FAR model has improvements in forecast risk measures over the random walk benchmark model. The limitations of this study are identified and suggestions on how further research might explore improvements in the FAR model in the context of forecasting the natural gas futures term structure are provided. The empirical findings in this study lay the groundwork for potential application of the FAR model to other commodity futures term structures.
URI: http://scholarbank.nus.edu.sg/handle/10635/146972
Appears in Collections:Bachelor's Theses (Restricted)

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