## 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¦
Price volatility, hedging and variable risk premium in the crude oil market
β Scribed by Jalali-Naini, Ahmad R. ;Manesh, Maryam Kazemi
- Book ID
- 111046767
- Publisher
- John Wiley and Sons
- Year
- 2006
- Tongue
- English
- Weight
- 803 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0277-0180
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Time-varying market price of risk in the
β
Ramaprasad Bhar; Damien Lee
π
Article
π
2010
π
John Wiley and Sons
π
English
β 216 KB
π 2 views
Crude oil price volatility and unemploym
β
Noel D. Uri
π
Article
π
1996
π
Elsevier Science
π
English
β 824 KB
THE ROLE OF TIME-VARYING PRICE ELASTICIT
β
Christiane Baumeister; Gert Peersman
π
Article
π
2012
π
John Wiley and Sons
π
English
β 710 KB
96/05827 Crude-oil price volatility and
π
Article
π
1996
π
Elsevier Science
β 193 KB
96/01340 Crude oil price volatility and
π
Article
π
1996
π
Elsevier Science
β 177 KB
South African political unrest, oil pric
β
Michael Melvin; Jahangir Sultan
π
Article
π
1990
π
John Wiley and Sons
π
English
β 601 KB
opular opinion asserts that South African politics and oil prices are major exoge-P nous forces that move the gold market. Recent political tension in South Africa and its possible fallout in the gold market is of particular concern because South Africa produces a significant share of the world's su