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Time-varying behaviour and volatility persistence in crude oil prices

✍ Scribed by Laopodis, Nikiforos T.

Book ID
115230589
Publisher
John Wiley and Sons
Year
1996
Tongue
English
Weight
574 KB
Volume
20
Category
Article
ISSN
0277-0180

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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