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The term structure of crude oil futures prices : a principal component analysis

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Academic year: 2021

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Figure

Figure 1. The three factors driving the futures prices curve movements
Table 2. Standard deviation and variability explained by each components, 1989-2002  Stand
Table 3. Principal components, 1999-2002
Table 5. Standard deviation and variances of the components, 1999-2002  Stand. Dev. % Factor 1 13,7166 95,4689 Factor 2 2,9267 4,3464 Factor 3 0,5394 0,1476 Factor 4 0,2373 0,0286 Factor 5 0,1072 0,0058 Factor 6 0,0548 0,0015 Factor 7 0,0361 0,0007 Factor
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