𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Price Movements, Information, and Liquidity in the Night Trading Market

✍ Scribed by Antoine Giannetti; Stephen J. Larson; Chun I. Lee; Jeff Madura


Book ID
109178205
Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
107 KB
Volume
41
Category
Article
ISSN
0732-8516

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## Abstract Relying on the cost of carry model, the long‐run 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