2 citations · 10 across the 12 of their papers we have counts for
13 papers
On Finite Time Span Estimators of Parameters for Ornstein-Uhlenbeck Processes
Jun S. Han, Nino Kordzakhia
We study the bias and the mean-squared error of the maximum likelihood estimators (MLE) of parameters associated with a two-parameter mean-reverting process for a finite time .…
Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics
Peilun He, Gareth W. Peters, Nino Kordzakhia +1
In the analysis of commodity futures, it is commonly assumed that futures prices are driven by two latent factors: short-term fluctuations and long-term equilibrium price levels. I…
Multi-Factor Polynomial Diffusion Models and Inter-Temporal Futures Dynamics
Peilun He, Nino Kordzakhia, Gareth W. Peters +1
In stochastic multi-factor commodity models, it is often the case that futures prices are explained by two latent state variables which represent the short and long term stochastic…
State-Space Dynamic Functional Regression for Multicurve Fixed Income Spread Analysis and Stress Testing
Peilun He, Gareth W. Peters, Nino Kordzakhia +1
The Nelson-Siegel model is widely used in fixed income markets to produce yield curve dynamics. The multiple time-dependent parameter model conveniently addresses the level, slope,…
On Modelling of Crude Oil Futures in a Bivariate State-Space Framework
Peilun He, Karol Binkowski, Nino Kordzakhia +1
We study a bivariate latent factor model for the pricing of commodity fu- tures. The two unobservable state variables representing the short and long term fac- tors are modelled as…
On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model
Karol Binkowski, Peilun He, Nino Kordzakhia +1
The two unobservable state variables representing the short and long term factors introduced by Schwartz and Smith in [16] for risk-neutral pricing of futures contracts are modelle…