The aim of this paper is to study the oil price dynamic in West Texas Intermediate (WTI) market in the US. By using statistical and econometric tools, we first attempt to identify the long term relationship between WTI spot prices and the prices of futures contracts on the New York Mercantile...

The aim of this article is to empirically measure the contribution of the futures market to the price discovery process in the spot market for benchmark crude oils, specifically that for West Texas Intermediate (WTI). For this purpose, we test the hypothesis that the recent evolution of the...

This study aims to investigate the presence of long-range dependence in energy futures markets. Using a daily dataset covering from 1990 to 2013 (which includes crucial events for energy markets such as invasion of Iraq and global financial crisis of 2008), we estimate time-varying generalized...

Stochastic process models of commodity prices are important inputs in energy investment evaluation and planning problems. In this paper, we focus on modeling and forecasting the long-term price level, since it is the dominant factor in many such applications. To provide a foundation for our...