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Price Dynamics and Speculators in Crude Oil Futures Market

✍ Scribed by Hui Bu

Book ID
113901477
Publisher
Elsevier
Year
2011
Weight
405 KB
Volume
2
Category
Article
ISSN
2211-3819

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πŸ“œ SIMILAR VOLUMES

Time-varying market price of risk in the
Time-varying market price of risk in the crude oil futures market
✍ Ramaprasad Bhar; Damien Lee πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 216 KB πŸ‘ 2 views

## Abstract In this study, a three‐factor model of crude oil prices is estimated, which incorporates a time‐varying 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 time‐varying

Market efficiency among futures with dif
Market efficiency among futures with different maturities: Evidence from the crude oil futures market
✍ Kaoru Kawamoto; Shigeyuki Hamori πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 116 KB

We would like to thank an anonymous referee and Robert Webb (the Editor) for their helpful comments and suggestions that significantly improved the quality of the study. The ideas expressed in this study are those of the authors and do not necessarily reflect the views of Osaka Gas.