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This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques...
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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 futures leads to significantly higher volatility in Brent and Light …
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Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets. Specifically, the usefulness of the two crack spread derivatives...
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