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Price relationships in crude oil futures: new evidence from CFTC disaggregated data
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013
This paper attempts to reconcile two strands of literature on oil and speculation: one that posits the predominance of … statistically the possibility of speculation among the main reasons behind the 2008 oil price swing. We also explicitly recognize … strands of literature on oil and speculation: one that posits the predominance of supply/demand fundamentals, and one that …
Persistent link: https://www.econbiz.de/10010707481
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Daily prediction of short-term trends of crude oil prices using neural networks exploiting multimarket dynamics
Pan, Heping; Haidar, I.; Kulkarni, Siddhivinayak - 2009
This paper documents a systematic investigation on the predictability of short-term trends of crude oil prices on a daily basis. In stark contrast with longer-term predictions of crude oil prices, short-term prediction with time horizons of 1-3 days posits an important problem that is quite...
Persistent link: https://www.econbiz.de/10009484602
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Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Baum, Christopher; Zerilli, Paola - Department of Economics, Boston College - 2014
We evaluate alternative models of the volatility of commodity futures prices based on high-frequency intraday data from the crude oil futures markets for the October 2001-December 2012 period. These models are implemented with a simple GMM estimator that matches sample moments of the realized...
Persistent link: https://www.econbiz.de/10010937944
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Testing the weak-form efficiency of the WTI crude oil futures market
Jiang, Zhi-Qiang; Xie, Wen-Jie; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 405 (2014) C, pp. 235-244
The weak-form efficiency of energy futures markets has long been studied and empirical evidence suggests controversial conclusions. In this work, nonparametric methods are adopted to estimate the Hurst indexes of the WTI crude oil futures prices (1983–2012) and a strict statistical test in the...
Persistent link: https://www.econbiz.de/10010931546
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Efficiency and hedging effectiveness in the NYMEX crude oil futures market
ÇAVUŞOĞLU, Tarkan; GÖKTEN, Soner - In: Iktisat Isletme ve Finans 26 (2011) 308, pp. 29-51
This study aims to investigate the speculative efficiency of the New York Mercantile Exchange (NYMEX) Light Sweet Crude Oil futures market and the effectiveness of these futures contracts in hedging the West Texas Intermediate (WTI) crude oil price risk. The period of interest ranges between...
Persistent link: https://www.econbiz.de/10009359463
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On the volatility–volume relationship in energy futures markets using intraday data
Chevallier, Julien; Sévi, Benoît - In: Energy Economics 34 (2012) 6, pp. 1896-1909
This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...
Persistent link: https://www.econbiz.de/10010868743
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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
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Forecasting Accuracy of Crude Oil Futures Prices
Kumar, Manmohan S. - International Monetary Fund (IMF) - 1991
of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the …
Persistent link: https://www.econbiz.de/10005599690
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Hedging Government Oil Price Risk
Daniel, James - International Monetary Fund (IMF) - 2001
Many governments are heavily exposed to oil price risk, especially those dependent on revenue derived from oil production. For these governments, dealing with large price movements is difficult and costly. Traditional approaches, such as stabilization funds, are inherently flawed. Oil risk...
Persistent link: https://www.econbiz.de/10005605340
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Macro factors in oil futures returns
Pen, Yannick Le; Sévi, Benoît - In: Economie Internationale (2011) 126-127, pp. 13-38
Abstract. We investigate the macro factors that can explain the monthly oil futures return for the NYMEX WTI futures contract for the time period 1993:11 to 2010:03. We build a new database of 187 real and nominal macroeconomic variables from developed and emerging countries and resort to the...
Persistent link: https://www.econbiz.de/10010602630