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 …We study how the exposure of fundamental and financial traders affects the futures curve of WTI oil and the market …

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 …

The unparalleled surge of the crude oil price after 2003 has triggered a heated scientific and public debate about its … reason among academics. We study the price dynamics after 2003 in the global crude oil market using a structural VAR model … needs have played an important role for the run-up in the price of crude oil after 2003. We additionally and that emerging …

price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The …-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the … find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we …