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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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On the volatility-volume relationship in energy futures markets using intraday data
Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2011
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/10009019142
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Assessing the profitability of intraday opening range breakout strategies
Holmberg, Ulf; Lönnbark, Carl; Lundström, Christian - Institutionen för Nationalekonomi, Umeå Universitet - 2012
Is it possible to beat the market by mechanical trading rules based on historical and publicly known information? Such rules have long been used by investors and in this paper, we test the success rate of trades and profitability of the Open Range Breakout (ORB) strategy. An investor that trades...
Persistent link: https://www.econbiz.de/10010818902
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On the volatility-volume relationship in energy futures markets using intraday data
Chevallier, Julien; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2012
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/10011072230
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Macro factors in oil futures returns
Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011
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 large factor...
Persistent link: https://www.econbiz.de/10011073526
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Measuring Oil-Price Shocks Using Market-Based Information
Wu, Tao; Cavallo, Michele - International Monetary Fund (IMF) - 2012
We study the effects of oil-price shocks on the U.S. economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, we classify them into various event types. We then develop measures of exogenous shocks that avoid endogeneity and predictability...
Persistent link: https://www.econbiz.de/10009650637
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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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Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016
The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the fluctuations in stock and financial derivatives...
Persistent link: https://www.econbiz.de/10011451515
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Crude oil futures trading and uncertainty
Czudaj, Robert L. - 2018
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...
Persistent link: https://www.econbiz.de/10011984781
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World Crude Oil Markets; Monetary Policy and the Recent Oil Shock
Krichene, Noureddine - International Monetary Fund (IMF) - 2006
This paper examines the relationship between monetary policy and oil prices within a world oil demand and supply model. Low price and high income elasticities of demand and rigid supply explain high price volatilities and producers' market power. Exchange and interest rates do influence oil...
Persistent link: https://www.econbiz.de/10005769161