Miguel Angel Herce

Using futures prices to filter short-term volatility and recover a latent, long-term price series for oil (2006)

Herce, Miguel Angel, Parsons, John E., Ready, Robert C.

Oil prices are very volatile. But much of this volatility seems to reflect short-term,transitory factors that may have little or no influence on the price in the long run. Many major investment...

Using futures prices to filter short-term volatility and recover a latent, long-term price series for oil (2006)

Herce, Miguel Angel, Parsons, John E., Ready, Robert C.

Oil prices are very volatile. But much of this volatility seems to reflect short-term,transitory factors that may have little or no influence on the price in the long run. Many major investment...