This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one … daily data on WTI oil forward and futures prices, and their associated returns, from 3 January 1985 to 16 January 2004. At … relatively narrow, namely (0.832, 0.996). Thus, in general, the dynamic volatilities in the returns in the WTI oil forward and …

type of the structural shock of interest. Understanding the response of the risk premium to unexpected changes in the price … premium and unexpected rise in the price of oil? On average, what should speculators expect to receive as a compensation for … risk premium and the changes in the price of oil triggered by shocks to economic fundamentals. Second, this analysis shows …

oil futures price from the spot price of oil and it represents a measure of the convenience yield but expressed with an … explaining the rises in the price of oil during the period 2003-2008. …

that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged … values of the basis (futures price minus spot price). This fact remain true for short (a week) and long (one, three and six … months) hedging periods. Furthermore, volatility of weekly price changes also has a seasonal pattern and is higher in winter …

In this paper we investigate crude oil and products price dynamics. We present a comparison among ten price series of … crude oils and fourteen price series of petroleum products, considering four distinct market areas (Mediterranean, North … and product price dynamics using cointegration and error correction models. Subsequently we use the error correction …