Futures versus univariate forecast of crude oil prices
β Scribed by Abosedra, Salah
- Book ID
- 111046759
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 66 KB
- Volume
- 29
- Category
- Article
- ISSN
- 0277-0180
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## Abstract The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield, which can be derived from the costβofβcarry relationship. In a recursi
This article examines the relationship between the spot and futures prices of WTI crude oil using a sample of daily data. Linear causality testing reveals that futures prices lead spot prices, but nonlinear causality testing reveals a bidirectional effect. This result suggests that both spot and fut