Margin Adequacy and Standards: An Analysis of the Crude Oil Futures Market
β Scribed by Day, Theodore E.; Lewis, Craig M.
- Book ID
- 123880979
- Publisher
- University of Chicago Press
- Year
- 2004
- Tongue
- English
- Weight
- 220 KB
- Volume
- 77
- Category
- Article
- ISSN
- 0021-9398
- DOI
- 10.1086/379863
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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
his article examines intra-market spreads in No. 2 heating oil futures and presents T evidence of an anomaly that is potentially profitable. The No. 2 heating oil contract, introduced in late 1978, is traded on the New York Mercantile Exchange (NYMEX). The purpose of this article is to detail the se