FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4380882578> ?p ?o ?g. }

• W4380882578 endingPage "4746" @default.
• W4380882578 startingPage "4746" @default.
• W4380882578 abstract "This work studies the term structure dynamics in the natural gas futures market, focusing on the Dutch Title Transfer Facility (TTF) daily futures prices. At first, using the whole dataset, we compared the in-sample fitting performance of three models: the four-factor dynamic Nelson–Siegel–Svensson (4F-DNSS) model, the five-factor dynamic De Rezende–Ferreira (5F-DRF) model, and the B-spline model. Our findings suggest that B-spline is the method that achieves the best in-line fitting results. Then, we turned our attention to forecasting, using data from 20 January 2011 to 13 May 2022 as the training set and the remaining data, from 16 May to 13 June 2022, for day-ahead predictions. In this second part of the work we combined the above mentioned models (4F-DNSS, 5F-DRF and B-spline) with a Nonlinear Autoregressive Neural Network (NAR-NN), asking the NAR-NN to provide parameter tuning. All the models provided accurate out-of-sample prediction; nevertheless, based on extensive statistical tests, we conclude that, as in the previous case, B-spline (combined with an NAR-NN) ensured the best out-of-sample prediction." @default.
• W4380882578 created "2023-06-17" @default.
• W4380882578 creator A5014840665 @default.
• W4380882578 creator A5034725718 @default.
• W4380882578 date "2023-06-15" @default.
• W4380882578 modified "2023-09-30" @default.
• W4380882578 title "A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling" @default.
• W4380882578 cites W1535750578 @default.
• W4380882578 cites W1554166313 @default.
• W4380882578 cites W1826098251 @default.
• W4380882578 cites W1970972242 @default.
• W4380882578 cites W1981428755 @default.
• W4380882578 cites W1986913550 @default.
• W4380882578 cites W2000842688 @default.
• W4380882578 cites W2037490177 @default.
• W4380882578 cites W2040870580 @default.
• W4380882578 cites W2042919462 @default.
• W4380882578 cites W2048638581 @default.
• W4380882578 cites W2050241533 @default.
• W4380882578 cites W2050327716 @default.
• W4380882578 cites W2055194861 @default.
• W4380882578 cites W2077252204 @default.
• W4380882578 cites W2081521169 @default.
• W4380882578 cites W2086304829 @default.
• W4380882578 cites W2087070363 @default.
• W4380882578 cites W2089240053 @default.
• W4380882578 cites W2092514020 @default.
• W4380882578 cites W2124206201 @default.
• W4380882578 cites W2125536334 @default.
• W4380882578 cites W2129196569 @default.
• W4380882578 cites W2137983211 @default.
• W4380882578 cites W2138954706 @default.
• W4380882578 cites W2142632737 @default.
• W4380882578 cites W2159425317 @default.
• W4380882578 cites W2168528174 @default.
• W4380882578 cites W2170444200 @default.
• W4380882578 cites W2182392273 @default.
• W4380882578 cites W2209467239 @default.
• W4380882578 cites W2256578114 @default.
• W4380882578 cites W2264047581 @default.
• W4380882578 cites W2314071493 @default.
• W4380882578 cites W2324055780 @default.
• W4380882578 cites W2344192594 @default.
• W4380882578 cites W2439198457 @default.
• W4380882578 cites W2511753245 @default.
• W4380882578 cites W2566970311 @default.
• W4380882578 cites W2567032824 @default.
• W4380882578 cites W2587792384 @default.
• W4380882578 cites W2751910435 @default.
• W4380882578 cites W2753249047 @default.
• W4380882578 cites W2756031876 @default.
• W4380882578 cites W2756371030 @default.
• W4380882578 cites W2763927359 @default.
• W4380882578 cites W2767660782 @default.
• W4380882578 cites W2773296738 @default.
• W4380882578 cites W2784992369 @default.
• W4380882578 cites W2790305961 @default.
• W4380882578 cites W2792836463 @default.
• W4380882578 cites W2804296154 @default.
• W4380882578 cites W2808519342 @default.
• W4380882578 cites W2824032217 @default.
• W4380882578 cites W2899195838 @default.
• W4380882578 cites W2899914377 @default.
• W4380882578 cites W2900368224 @default.
• W4380882578 cites W2908925382 @default.
• W4380882578 cites W2913935064 @default.
• W4380882578 cites W2936606650 @default.
• W4380882578 cites W2942936399 @default.
• W4380882578 cites W2943571340 @default.
• W4380882578 cites W2947614696 @default.
• W4380882578 cites W2947919073 @default.
• W4380882578 cites W3006942462 @default.
• W4380882578 cites W3020059551 @default.
• W4380882578 cites W3113503753 @default.
• W4380882578 cites W3118147777 @default.
• W4380882578 cites W3122025714 @default.
• W4380882578 cites W3122175640 @default.
• W4380882578 cites W3123069420 @default.
• W4380882578 cites W3123451095 @default.
• W4380882578 cites W3124477952 @default.
• W4380882578 cites W3125065948 @default.
• W4380882578 cites W3137522788 @default.
• W4380882578 cites W3146061204 @default.
• W4380882578 cites W3148991373 @default.
• W4380882578 cites W3166691928 @default.
• W4380882578 cites W3173205639 @default.
• W4380882578 cites W3185148806 @default.
• W4380882578 cites W3189604526 @default.
• W4380882578 cites W348073032 @default.
• W4380882578 cites W4207056946 @default.
• W4380882578 cites W4210898144 @default.
• W4380882578 cites W4244471710 @default.
• W4380882578 cites W4253560234 @default.
• W4380882578 cites W4281989853 @default.
• W4380882578 cites W4292382508 @default.
• W4380882578 cites W4309724022 @default.
• W4380882578 cites W4322630129 @default.
• W4380882578 cites W4366263056 @default.

• next