A multi-factor model with time-varying and seasonal risk premiums for the natural gas market

Multivariate Data Analysis with Readings.

I. T. Jolliffe, Joseph F. Hair, Rolph E. Anderson et al. · Journal of the Royal Statistical Society Series A (Statistics in Society) · 1988 · 5.1K citations

Natural Sciences, Data Science, Categorical Data Analysis +5

Forecasting, Structural Time Series Models and the Kalman Filter

Robert Fildes, Andrew Harvey, Mike West et al. · Journal of the Operational Research Society · 1991 · 4.8K citations

Computing, Mathematics, Forecasting +13

Martingales and stochastic integrals in the theory of continuous trading

J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications · 1981 · 2.9K citations

Engineering, Finance, Mathematics +14

Evaluating Natural Resource Investments

Michael J. Brennan, Eduardo S. Schwartz · The Journal of Business · 1985 · 2.4K citations

Business, Economics, Finance +17

The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging

Eduardo S. Schwartz · The Journal of Finance · 1997 · 2.1K citations

Agriculture, Economics, Finance +17