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Spread trading strategies in the crude oil futures market
Lubnau, Thorben - 2014
the markets for WTI and Brent crude oil. The strategies tested are Bollinger Bands, based on a mean-reverting hedge … portfolio of WTI and Brent. The trading systems are tested with historical data from 1992 to 2013, representing 22 years of data …
Persistent link: https://www.econbiz.de/10010345566
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
. -- Cointegration ; oil market ; futures prices ; price discovery …
Persistent link: https://www.econbiz.de/10003949493
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Time-Varying spot and futures oil prices dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
Persistent link: https://www.econbiz.de/10003963295
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
. -- cointegration ; oil market ; futures prices ; price discovery …
Persistent link: https://www.econbiz.de/10003965099
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Are product spreads useful for forecasting? : an empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz - 2013
Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is based on the premise that demand for crude oil derives...
Persistent link: https://www.econbiz.de/10010200878
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Oil market efficiency, quantity of information, and oil market turbulence
Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024
This paper analyses the informational efficiency of the WTI crude oil markets using a recently proposed quantitative …
Persistent link: https://www.econbiz.de/10014490913
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Informational efficiency in futures markets for crude oil
Fritz, Andreas; Weber, Christoph - 2011 - Revised version: January 2012
Brent crude oil in the period 2002 - 2008 are used in combination with a multi factor model to investigate whether futures … transform. For the Brent crude oil futures market, the results are in line with the hypothesis of market efficiency in the short …
Persistent link: https://www.econbiz.de/10010426695
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Assessing the profitability of intraday opening range breakout strategies
Holmberg, Ulf; Lönnbark, Carl; Lundström, Christian - 2012
Persistent link: https://www.econbiz.de/10009581982
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Modelling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro; Manera, Matteo; McAleer, Michael - 2004
Persistent link: https://www.econbiz.de/10002127352
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Modelling dynamic conditional correlations in WTI oil forward and futures returns
Lanza, Alessandro; Manera, Matteo; McAleer, Michael - 2004
This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one … daily data on WTI oil forward and futures prices, and their associated returns, from 3 January 1985 to 16 January 2004. At … relatively narrow, namely (0.832, 0.996). Thus, in general, the dynamic volatilities in the returns in the WTI oil forward and …
Persistent link: https://www.econbiz.de/10011602832