## 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
The effectiveness of arbitrage and speculation in the crude oil futures market
β Scribed by Imad A. Moosa; Nabeel E. Al-Loughani
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 882 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0270-7314
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## Abstract This study investigates the efficiency of the New York Mercantile Exchange (NYMEX) Division light sweet crude oil futures contract market during recent periods of extreme conditional volatility. Crude oil futures contract prices are found to be cointegrated with spot prices and unbiased
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.
ersistent discrepancies between implied forward rates on the yield curve P and corresponding futures rates have been widely observed. For instance, in one of our samples, eight week-ahead forward-future spreads averaged nearly 70 discount basis points before 1982 and have since averaged about 30 bas
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
S tling rapidity. This remarkable growth has fueled itself to a large extent with 'See Branch (1978), Capozza and Cornell (1979), Lang and Rasche (1978), Poole (1978), Puglisi (1978), Rendleman and Carabini (1979), and Vignola and Dale (1979, 1980). All of these articles are reprinted in Gay and Kol