## Abstract This article studies the ability of an Nβfactor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches of aggregating data for a set of maturities. A Kalman filter estim
Oil prices and energy futures
β Scribed by K. C. Chen; R. Stephen Sears; Dah-Nein Tzang
- Publisher
- John Wiley and Sons
- Year
- 1987
- Tongue
- English
- Weight
- 815 KB
- Volume
- 7
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
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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