Search Results - subject:"Crude Oil Futures"

Forecasting the volatility of crude oil futures using intraday data

Sévi, Benoît - In: European Journal of Operational Research 235 (2014) 3, pp. 643-659

We use the information in intraday data to forecast the volatility of crude oil at a horizon of 1–66days using a variety of models relying on the decomposition of realized variance in its positive or negative (semivariances) part and its continuous or discontinuous part (jumps). We show the...

Persistent link: https://www.econbiz.de/10010871208

Price discovery in crude oil futures

Elder, John; Miao, Hong; Ramchander, Sanjay - In: Energy Economics 46 (2014) S1, pp. 18-18

This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI sweet crude and Brent sweet crude. Using data on the most active futures contracts measured at the one-second frequency, we find that WTI maintains a dominant role in price...

Persistent link: https://www.econbiz.de/10011115887

Modeling the volatility of futures return in rubber and oil : a Copula-based GARCH model approach

Li, Meng; Yang, Liang - In: Economic modelling 35 (2013), pp. 576-581

Persistent link: https://www.econbiz.de/10010336750

Efficiency of crude oil futures markets : new evidence from multifractal detrending moving average analysis

Wang, Yudong; Wu, Chongfeng - In: Computational economics 42 (2013) 4, pp. 393-414

Persistent link: https://www.econbiz.de/10010249882

Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis

Wang, Yudong; Wu, Chongfeng - In: Computational Economics 42 (2013) 4, pp. 393-414

In this paper, we examine the weak-form efficient market hypothesis of crude oil futures markets by testing for the … be found. That is, crude oil futures markets are not efficient in the short-term or in the long-term. By quantifying the …

Persistent link: https://www.econbiz.de/10010989297

Price relationships in crude oil futures: new evidence from CFTC disaggregated data

Chevallier, Julien - In: Environmental Economics and Policy Studies 15 (2013) 2, pp. 133-170

switching analysis based on the WTI crude oil futures price, CFTC disaggregated data, and fundamentals of the oil price. The …

Persistent link: https://www.econbiz.de/10010845965

Price relationships in crude oil futures: new evidence from CFTC disaggregated data

Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013

switching analysis based on the WTI crude oil futures price, CFTC disaggregated data, and fundamentals of the oil price. The … investigates the hypothesis of speculative trading. To do so, we develop a Markov switching analysis based on the WTI crude oil … futures price, CFTC disaggregated data, and fundamentals of the oil price. The benefits of this approach are twofold: (1) the …

Persistent link: https://www.econbiz.de/10010707481

Modeling the volatility of futures return in rubber and oil—A Copula-based GARCH model approach

Li, Meng; Yang, Liang - In: Economic Modelling 35 (2013) C, pp. 576-581

futures returns, namely, crude oil futures returns and gas oil futures returns in TOCOM. Whereas, the Gaussian dependence …

Persistent link: https://www.econbiz.de/10011048748

Assessing the profitability of intraday opening range breakout strategies

Holmberg, Ulf; Lönnbark, Carl; Lundström, Christian - In: Finance Research Letters 10 (2013) 1, pp. 27-33

Is it possible to beat the market by mechanical trading rules based on historical and publicly known information? Such rules have long been used by investors and in this paper, we test the success rate of trades and profitability of the Open Range Breakout (ORB) strategy. An investor that trades...

Persistent link: https://www.econbiz.de/10011065855

World Crude Oil Markets; Monetary Policy and the Recent Oil Shock

Krichene, Noureddine - International Monetary Fund (IMF) - 2006

This paper examines the relationship between monetary policy and oil prices within a world oil demand and supply model. Low price and high income elasticities of demand and rigid supply explain high price volatilities and producers' market power. Exchange and interest rates do influence oil...

Persistent link: https://www.econbiz.de/10005769161