## 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
β¦ LIBER β¦
Market conditions and future oil prices
β Scribed by G.C. Ruggeri
- Publisher
- Elsevier Science
- Year
- 1983
- Tongue
- English
- Weight
- 573 KB
- Volume
- 5
- Category
- Article
- ISSN
- 0140-9883
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## 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