Analyzing Oil Futures with a Dynamic Nelson‐Siegel Model

Niels S. GrØnborg and Asger Lunde

Journal of Futures Markets, 2016, vol. 36, issue 2, 153-173

Abstract: 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. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:153–173, 2016

Date: 2016
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