Similar Search Results

The impact of fundamental and financial traders on the term structure of oil

Heidorn, Thomas; Mokinski, Frieder; Rühl, Christoph; … - 2014

We study how the exposure of fundamental and financial traders affects the futures curve of WTI oil and the market … integration between WTI and Brent as measured by their price spread. To obtain a parsimonious representation of the futures curve … sub-periods of a sharp WTI-price rise as well as a diverging Brent-WTI-spread. Our contribution is threefold: First, we …

Persistent link: https://www.econbiz.de/10010340137

The impact of fundamental and financial traders on the term structure of oil

Heidorn, Thomas; Mokinski, Frieder; Rühl, Christoph; … - In: Energy economics 48 (2015), pp. 276-287

Persistent link: https://www.econbiz.de/10011533818

Forecasting the price of crude oil via convenience yield predictions

Knetsch, Thomas A. - 2006

The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive...

Persistent link: https://www.econbiz.de/10010295802

Effects of Inventory Announcement on Crude Oil Price Volatility

Bu, Hui - 2016

This paper examines the behavior of crude oil futures price volatility and investigates how the EIA weekly crude oil inventory reports announcements, especially information shocks, impact crude oil price movement and volatility. This study focuses on inventory information shocks using a new...

Persistent link: https://www.econbiz.de/10012998738

Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements

Buyuksahin, Bahattin - 2014

We construct a uniquely detailed, comprehensive dataset of trader positions in U.S. energy futures markets. We find considerable changes in the make-up of the open interest between 2000 and 2010 and show that these changes impact asset pricing. Specifically, dynamic conditional correlations...

Persistent link: https://www.econbiz.de/10013067957

Empirical Hedging Performance on Long-Dated Crude Oil Derivatives

Cheng, Benjamin - 2016

This paper presents an empirical study on hedging long-dated crude oil futures options with forward price models incorporating stochastic interest rates and stochastic volatility. Several hedging schemes are considered including delta, gamma, vega and interest rate hedge. Factor hedging is...

Persistent link: https://www.econbiz.de/10012982923

Shock Propagation Across the Futures Term Structure : Evidence from Crude Oil Prices

Lautier, Delphine - 2018

information flows, and propose a novel type of directed graph, to investigate the propagation of price shocks across the WTI term …-segmentation by maturity of the WTI market in 2012-2014. We document that, on average, short-dated futures emit more information than …

Persistent link: https://www.econbiz.de/10012938005

Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets

Smales, Lee A. - 2019

Geopolitical events are widely reported in the press and may influence the risk premium demanded by investors in addition to demand and supply of energy resources. Using the daily geopolitical risk index of Caldara and Iacoviello (2018), we demonstrate that geopolitical risk plays an important...

Persistent link: https://www.econbiz.de/10012867250

Forecasting the Price of Crude Oil Via Convenience Yield Predictions

Knetsch, Thomas - 2016

Persistent link: https://www.econbiz.de/10012991189

Energy Commodities Revealed through Hedging Characteristics : Evidence from Developing and Mature Markets

Spencer, Simon - 2015

What can we learn about a physical commodity by studying its hedging characteristics? We use a hedging study to shed light on important properties of ethanol (a developing market) and corn (a mature market). Our three primary innovations are empirical, with implications for all storable...

Persistent link: https://www.econbiz.de/10013017474