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Time-varying predictability in crude-oil markets: the case of GCC countries

✍ Scribed by Mohamed El Hedi Arouri; Thanh Huong Dinh; Duc Khuong Nguyen

Book ID
108126110
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
397 KB
Volume
38
Category
Article
ISSN
0301-4215

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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