Investors face a number of challenges when seeking to estimate the prospective performance of a long-only investment in commodity futures. For instance, historically, the average annualized excess return of individual commodity futures has been approximately zero and commodity futures returns...

Investors face numerous challenges when seeking to estimate the prospective performance of a longonly investment in commodity futures. For instance, historically, the average annualized excess return of the average individual commodity futures has been approximately zero and commodity futures...

Crude prices are subject to both demand and supply shocks. Major events and structural changes can induce large variations in intensities of the two types of shocks, as well as their magnitudes of impacts on crude price movements. This paper proposes a theoretical framework that allows us to...

We extend the Limits to Arbitrage literature by studying how physical constraints affect financial arbitrage in commodity markets. Using the U.S. crude oil market as our experimental setting, we document substantial economically significant violations of the no-arbitrage futures pricing...

Granger causality (GC) tests are widely used when it comes to empirically address the dynamic relationship between speculative activities and pricing on commodity markets. However, the sheer number of studies and their heterogeneity makes it extremely difficult – if not impossible – to...

This paper proposes the use of the Brownian distance correlation for feature selection and for conducting a lead-lag analysis of energy time series. Brownian distance correlation determines relationships similar to those identified by the linear Granger causality test, and it also uncovers...

We review and synthesize the empirical evidence on several factors related to petroleum product prices: (1) the general distributional characteristics of petroleum product prices; (2) the influence of refinery outages, extreme weather, and similar circumstances on product prices; (3) the way...

We review a large body of the empirical literature focusing on the relation between petroleum product prices and oil prices and discuss the evidence on the direction of causality between crude oil prices and petroleum product prices. In addition, we survey the literature on the much-debated...

Negative policy spillovers can undermine the social effectiveness of well-intentioned regulations. We evaluate whether environmental regulations that shifted electricity generation from coal to natural gas, reducing emissions, had an effect on electricity price volatility. We use emergency...

This paper proposes the use of the Brownian distance correlation to conduct a lead-lag analysis of financial and economic time series. When this methodology is applied to asset prices, the non-linear relationships identified may improve the price discovery process of these assets. The Brownian...