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Price relationships in crude oil futures: new evidence from CFTC disaggregated data

Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013

This paper attempts to reconcile two strands of literature on oil and speculation: one that posits the predominance of … statistically the possibility of speculation among the main reasons behind the 2008 oil price swing. We also explicitly recognize … strands of literature on oil and speculation: one that posits the predominance of supply/demand fundamentals, and one that …

Persistent link: https://www.econbiz.de/10010707481

Extreme events, economic uncertainty and speculation on occurrences of price bubbles in crude oil futures

Chang, Chiu-Lan - In: Energy economics 130 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014559245

Speculative bubbles in recent oil price dynamics : evidence from a Bayesian Markov-switching state-space approach

Lammerding, Marc; Stephan, Patrick; Trede, Mark; … - In: Energy economics 36 (2013), pp. 491-502

Persistent link: https://www.econbiz.de/10009724652

On the volatility-volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2011

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...

Persistent link: https://www.econbiz.de/10009019142

Efficiency and hedging effectiveness in the NYMEX crude oil futures market

ÇAVUŞOĞLU, Tarkan; GÖKTEN, Soner - In: Iktisat Isletme ve Finans 26 (2011) 308, pp. 29-51

This study aims to investigate the speculative efficiency of the New York Mercantile Exchange (NYMEX) Light Sweet Crude Oil futures market and the effectiveness of these futures contracts in hedging the West Texas Intermediate (WTI) crude oil price risk. The period of interest ranges between...

Persistent link: https://www.econbiz.de/10009359463

Crude Oil Futures as an Indicator of Market Changes: A Graphical Analysis

Ye, Michael; Zyren, John; Shore, Joanne; Lee, Thomas - In: International Advances in Economic Research 16 (2010) 3, pp. 257-268

Persistent link: https://www.econbiz.de/10008673638

On the volatility–volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - In: Energy Economics 34 (2012) 6, pp. 1896-1909

Persistent link: https://www.econbiz.de/10010868743

Forecasting the volatility of crude oil futures using intraday data

Sévi, Benoît - In: European Journal of Operational Research 235 (2014) 3, pp. 643-659

We use the information in intraday data to forecast the volatility of crude oil at a horizon of 1–66days using a variety of models relying on the decomposition of realized variance in its positive or negative (semivariances) part and its continuous or discontinuous part (jumps). We show the...

Persistent link: https://www.econbiz.de/10010871208

Assessing the profitability of intraday opening range breakout strategies

Holmberg, Ulf; Lönnbark, Carl; Lundström, Christian - Institutionen för Nationalekonomi, Umeå Universitet - 2012

Is it possible to beat the market by mechanical trading rules based on historical and publicly known information? Such rules have long been used by investors and in this paper, we test the success rate of trades and profitability of the Open Range Breakout (ORB) strategy. An investor that trades...

Persistent link: https://www.econbiz.de/10010818902

Price discovery in crude oil futures

Elder, John; Miao, Hong; Ramchander, Sanjay - In: Energy Economics 46 (2014) S1, pp. 18-18

This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI sweet crude and Brent sweet crude. Using data on the most active futures contracts measured at the one-second frequency, we find that WTI maintains a dominant role in price...

Persistent link: https://www.econbiz.de/10011115887

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