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Efficiency in the crude oil futures market

✍ Scribed by S.Gürcan Gülen

Book ID
117730386
Publisher
Elsevier Science
Year
1998
Weight
775 KB
Volume
3
Category
Article
ISSN
1085-7443

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📜 SIMILAR VOLUMES

Market efficiency among futures with dif
Market efficiency among futures with different maturities: Evidence from the crude oil futures market
✍ Kaoru Kawamoto; Shigeyuki Hamori 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 116 KB

We would like to thank an anonymous referee and Robert Webb (the Editor) for their helpful comments and suggestions that significantly improved the quality of the study. The ideas expressed in this study are those of the authors and do not necessarily reflect the views of Osaka Gas.

Time-varying market price of risk in the
Time-varying market price of risk in the crude oil futures market
✍ Ramaprasad Bhar; Damien Lee 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 216 KB 👁 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