This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy … and/or (2) accurate predictor of subsequent spot prices. While energy futures prices are generally unbiased predictors of …. In addition, futures prices do approximately as well as a random walk in forecasting future spot prices, and vastly …

This paper examines the relationship between spot and futures prices for commodities, including those for energy (crude … (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while energy futures prices are … oil, gasoline, heating oil markets and natural gas), precious and base metals (gold, silver, aluminum, copper, lead …

the two markets using high-frequency, intraday oil and gas futures prices. By analyzing the effect of weekly oil and gas … have a cross-commodity effect on price volatility not only for the next-month nearby futures contract but also for the …

. In particular, we conduct a series of forecasting exercises and compare the performance of models that use oil futures … discusses how to forecast future oil price movements based on information from both the oil futures market and the spot market …

futures prices, both during the earlier period of 1985-2002 and during the spike. The dynamics of the term structure changed …

Investment by oil firms positively affects the futures basis and negatively predicts excess returns on crude oil … futures. I build an equilibrium model of drilling, exploration, and storage to understand these facts. Firms' capital stock … geometrically declining rate; however, by specifying consumers' habit level equaling production from old wells, the futures basis …

returns for five energy commodities. We find that interest-adjusted bases and returns have a business cycle pattern … show that the interest-adjusted bases of energy commodities are counter-cyclical and the expected returns are pro …-cyclical. For petroleum commodities, inventory has a significant effect on interest-adjusted bases at low levels of inventory …

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …