𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Analysis of the temporal properties of price shock sequences in crude oil markets

✍ Scribed by Yuan, Ying; Zhuang, Xin-tian; Liu, Zhi-ying; Huang, Wei-qiang

Book ID
122812030
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
963 KB
Volume
394
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Time-varying market price of risk in the
Time-varying market price of risk in the crude oil futures market
✍ Ramaprasad Bhar; Damien Lee πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 216 KB πŸ‘ 2 views

## Abstract In this study, a three‐factor model of crude oil prices is estimated, which incorporates a time‐varying market price of risk. The model is able to accurately capture the term structure of futures prices with evidence suggesting that risk premiums in the crude oil market are time‐varying