Explaining the so-called "price premium" in oil markets
β Scribed by Merino, Antonio ;Ortiz, Alvaro
- Book ID
- 110749459
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 173 KB
- Volume
- 29
- Category
- Article
- ISSN
- 0277-0180
No coin nor oath required. For personal study only.
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## Abstract In this study, a threeβfactor model of crude oil prices is estimated, which incorporates a timeβvarying 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 timeβvarying