Information shares in international oil futures markets
β Scribed by Yiuman Tse; G.Geoffrey Booth
- Book ID
- 114344352
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 548 KB
- Volume
- 6
- Category
- Article
- ISSN
- 1059-0560
No coin nor oath required. For personal study only.
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## Abstract This paper examines the extent to which futures price changes are driven by noise and information for three U.K. futures contracts by utilizing T. Andersen's (1996) specification of the mixture of distributions hypothesis. Use of the generalized method of moments approach demonstrates t
## Abstract Relying on the cost of carry model, the longβrun relationship between spot and futures prices is investigated and the information implied in these cointegrating relationships is used to forecast out of sample oil spot and futures price movements. To forecast oil price movements, a vecto