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 …

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 …

evidence of cointegration. This implies that: (a) investors use the gold market as a hedge against inflation and (b) the oil …

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 …

comparing it to the West Texas Intermediate (WTI) futures market. We discover that the weak-form efficient market hypothesis … holds for both the CPO and WTI futures markets despite the significant difference in their liquidity. Using a scaling … does not strongly involve a high level of risk unlike WTI futures. Our findings regarding market efficiency of the two …