We propose using a new relative measure, the speculative ratio, defined as trading volume divided by open interest, to gauge speculative activity in the oil futures market. We apply the speculative ratio to examine the relation between basis and speculative activity in the oil futures market...

This paper examines the behavior of crude oil futures price and volatility, analyzes the relationship between speculative traders' positions and returns, and investigates whether speculative traders' position changes have a significant effect on crude oil price. It also studies how speculation...

I test for the presence of asymmetric volatility in the Brent and Light crude oil futures markets. My investigation is based on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from 2004 through 2009. I find that a decline in oil...

In this paper we propose a simple one-factor quantile regression model based on realized volatility to forecast Value-at-Risk (VaR). The model only uses daily realized volatility as input and thus simplifies estimation substantially compared with most other methodologies currently used to...

Both large oil price increases and decreases are associated with deteriorating economic conditions. Consistent with this stylized fact, we find that the projection of the state price density (SPD) on oil returns estimated from oil futures and option prices displays a U-shaped pattern. Because...

The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed...

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), and VARMA-AGARCH model of...

This paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in explaining and forecasting the risk premia in practice. Whilst the existence of the premia and the...

We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...