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Forecasting the term structure of natural gas constant maturity futures using a seasonal principal components-based post-weighted monte carlo simulation.
Elias A. Demetriades
Deborah Cernauskas
Published in:
WSC (2005)
Keyphrases
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monte carlo simulation
principal components
natural gas
monte carlo
short term
principal component analysis
forecasting model
dimensionality reduction
markov chain
principal component regression
correlation coefficient
neural network
long term
dimension reduction
heat transfer
real option