Daily log-return of crude oil futures
Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return
... on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), and ...
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Forecasting crude oil futures volatility
... A similar study that also examine the information content of implied volatility, only for S&P 100 stock index (OEX) options, is performed by Canina and Figlewski (1993) in "The Information Content of Implied Volatility". ...
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Volatility forecasting for crude oil futures
... 5.2 in-sample forecast evaluation Table 5 reports some descriptive statistics for in-sample evaluation. These tests can be used for model selection. The maximized log-likelihood suggests that the GJR model with t ...
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International Linkage of Crude Oil futures Markets of India: Empirical evidences from Indian Crude Oil futures Markets
... Commodity Futures, VECM, and Granger Causality ...Introduction Crude oil price experiences wide price swings in times of shortage or ...The crude oil price cycle may alter over several ...
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Speculation and volatility in the crude oil futures market
... Model 3 and Model 4 use the squared futures return as the volatility measure for the futures market, and regress it on the new speculative index (Model 3) or Working'T (Model 4) and on[r] ...
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Risk Premia in Crude Oil Futures Prices
... in crude oil futures contracts over this period, accepting the positive expected earnings from their positions as compensation for providing insurance to sellers, who were presumably commercial ...
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Segmentation in the Crude Oil Futures Term Structure.
... of crude oil markets, the existence of preferred habitat could be due to the presence of several categories of participants in the futures market, each of them acting on different parts of the prices ...
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THE DETERMINANTS OF VOLATILITY ON THE AMERICAN CRUDE OIL FUTURES
... the daily variance represents on average ...month futures price. [INSERT FIGURE 3 HERE] Thus, in the American crude oil market, futures prices are much more volatile during the open ...
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Investment strategies in the crude oil futures market : an empirical analysis of its return and its causes
... the futures price is higher than the current spot price plus storage ...use crude oil as an example you can buy crude oil today, store it and sell it later, making gains or losses ...
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Performance of Crude Palm Oil and Crude Palm Kernel Oil Futures in Malaysian Derivatives Market
... 5. Conclusion Commodity Price instrument relatively very volatile which is reflected to their trading mechanism performance. This scenario had been proven by the statistically result by regression whereby it was indicate ...
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VOLATILITY IN THE AMERICAN CRUDE OIL FUTURES MARKET 1
... of daily returns. Indeed, if there were some noise trading in the crude oil futures markets, this noise would generate excess volatility in the futures ...intra-day return ...
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Essays on Volatility Estimation and Forecasting of Crude Oil Futures
... the crude oil market and stock market due to the large number of observations ...fit daily data and it is able to distinguish between short term investment behaviours and long term investment ...
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Do Speculators Drive Crude Oil Futures Prices?
... on daily trader positions, we imple- ment Granger causality tests to determine lead and lag relations between price changes and net position changes of various traders in the crude oil futures ...
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Light Sweet Crude Oil (WTI) Futures and Options
... In 2008, NYMEX became part of CME Group. Together, we offer the most extensive and liquid energy complex in the world, including Light Sweet Crude Oil (WTI), Natural Gas (Henry Hub), petroleum and ...
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Spread trading strategies in the crude oil futures market
... When using a linear regression setting or the Johansen eigenvectors, the lookback period is specified and the data sampled in this lookback period is used to get the best estimate of the hedge ratio over the whole sample ...
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Crude oil and agricultural futures: an analysis of correlation dynamics
... on oil - agricultural correlations If oil-agricultural futures return correlations respond to changes in biofuel policy, we expect to see gradual increases in correlations beginning in 2005-07 ...
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The effect of crude oil futures price on risk premium volatilities in the futures market
... show futures prices are unbiased for efficient forecasting of spot ...commodity futures contracts, production and inventory levels are interrelated, and are determined via equilibrium in interconnected ...
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International Crude oil Futures and Romanian Oil Companies: Volatility, Correlations and Causality
... During the period of five years analyzed, the price evolutions are strongly correlated, both instruments facing a sharp decline in price during the financial crisis and experiencing a recovery starting with the year ...
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Return Spillovers In Indian Brent Crude Oil Market
... 2 Research Scholar, Department of Commerce, Delhi University, Delhi, India ---------------------------------------------------------------------***--------------------------------------------------------------------- ...
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Probability Distribution of Return and Volatility in Crude Oil Market
... the crude oil ...0.0138). Crude oil prices volatility, associated with bouts of inflation and economic instability over the last twenty years, its volatility fluctuates most dramatically over ...
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