## 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
Unbiasedness and time varying risk premia in the crude oil futures market
β Scribed by Imad A. Moosa; Nabeel E. Al-Loughani
- Publisher
- Elsevier Science
- Year
- 1994
- Tongue
- English
- Weight
- 715 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0140-9883
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