Marshall University Math Colloquium
October 21, 2015
In this work, we undertake the study to shed light on world oil market and price movement, price balancing process and energy commodity behavior. We initiate the development of a stochastic model of energy commodity pricing. A system of stochastic model for dynamic of energy pricing process is proposed. Different methods for parameter estimation is discussed. In addition, by developing a Local Lagged Adapted Generalized Method of Moment (LLGMM) method, an attempt is made to compare the simulated estimates derived using LLGMM and other existing method. These developed results are applied to the Henry Hub natural gas, crude oil, coal and ethanol data sets.