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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
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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/10010335954
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The impact of fundamental and financial traders on the term structure of oil
Heidorn, Thomas; Mokinski, Frieder; Rühl, Christoph; … - Frankfurt School of Finance and Management - 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/10010985136
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Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach
Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024
investigates the directionally dynamic connectedness among WTI and Shanghai crude oil futures and currency markets. We explored …
Persistent link: https://www.econbiz.de/10014534437
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Volatility spillover between oil prices and main exchange rates : evidence from a DCC-GARCH-Connectedness approach
Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024
investigates the directionally dynamic connectedness among WTI and Shanghai crude oil futures and currency markets. We explored …
Persistent link: https://www.econbiz.de/10014490828
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Information Flows in the term structure of commodity prices
Lautier, Delphine; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2014
Relying on conditional entropy and on the notion of information transfer, we investigate price relationships in the most important commodity futures market: the American crude oil market. We first show that the information shared by futures contracts with different delivery dates increases...
Persistent link: https://www.econbiz.de/10011096669
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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
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Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie
Rodt, Marc; Schäfer, Klaus - 2005
The regulatory changes in the german electric power market result in rising electricity price volatility. As a consequence electricity price risk management is essential for an electricity trader. The paper therefore analyzes the needed volume of futures hedging for an electricity trader, that...
Persistent link: https://www.econbiz.de/10010298507
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Risk premia in electricity wholesale spot markets: empirical evidence from Germany
Pietz, Matthäus - 2009
This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...
Persistent link: https://www.econbiz.de/10010305694
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Risk premia in the German electricity futures market
Pietz, Matthäus - 2009
The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...
Persistent link: https://www.econbiz.de/10010305696