This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline …

This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline …

based on the premise that demand for crude oil derives from the demand for refined products such as gasoline or heating oil … and two years. The most accurate model is a time-varying parameter model of gasoline and heating oil spot spreads that …

The motivation for this paper began with casual empiricisms regarding the brief distributed lag of retail gasoline … consistent and efficient estimator of the actual gasoline prices over most of our sample period. However, random shocks to … gasoline prices, like Hurricane Ike in 2008, cause the model to have problems accurately predicting gas prices. We conclude …