futures prices
Determinants of Oil Futures Prices
... oil futures market and the market for put and call options on oil ...oil futures in the oil futures market or sell call options or buy puts in the options on oil futures ...oil futures ...
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Support Vector Machines for Prediction of Futures Prices in Indian Stock Market
... In order to address these difficulties Vapnik and his coworkers have introduced support vector machine based on structural risk minimization principle [4]. Support vector machine successfully overcame the defects as a ...
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AN N-FACTOR GAUSSIAN MODEL OF OIL FUTURES PRICES
... The model is calibrated with the use of all daily light sweet crude oil futures prices traded at NYMEX during the 10-year period from January 1992 to December 2001. The model is estimated with the use of ...
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Effects of index-fund investing on commodity futures prices
... oil prices or the futures-spot spread over 2003-2010, though there was statistically significant predictability when the sample was extended back to ...predict futures returns over ...in ...
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A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil *
... oil prices in the second half of 2008, even when the spot price unexpectedly reached $134 in June of 2008, market participants did not expect the price of oil to remain at that level for another ...oil ...
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A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil
... accurate measure of the market’s oil price expectations. Our analysis revealed little empirical support for estimates of the risk premium based on excess return regressions of the type popular in recent applied work on ...
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COMMODITY INDEX INVESTING AND COMMODITY FUTURES PRICES 1
... “causes” futures price ...of futures prices for commodities known to be part of commodity index investing ...in futures price movements through ...of futures prices known not to ...
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Understanding Crude Oil Spot and Futures Prices Dynamics During Major Crises
... future prices dynamics is in conflict relating to the nature of the relationship between the two ...and futures prices finding that futures prices are a better crude oil price indicator ...
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Speculation, futures prices, and the US real price of crude oil
... drive prices back down--unless the excess was taken off the ...oil prices is through ...oil prices is not the result of runaway speculation but rather the result of fundamental factors like the ...
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The Predictive Power of the VIX Futures Prices on Future Realized Volatility
... the prices of the VIX futures have predictive power on future realized ...VIX futures have predictive ...VIX futures contracts for one of two reasons: either to hedge the risks in their ...
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Speculation, Futures Prices, and the U S Real Price of Crude Oil
... time: futures prices, the value of the dollar, exploration, demand, and ...short-term futures contracts, supply does indeed dominate price movements in the crude oil ...and futures ...
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The Role of Futures Prices in Pricing Commodity Exports of Developing Countries
... coffee prices were at their lowest levels since the ...coffee prices were at their highest levels since ...cash prices and futures prices for coffee in foreign exchanges can serve to ...
92
Essays on Econometric Evaluation of Models of Commodity Futures Prices
... The rest of the paper is organized as follows. Section 2 considers the determination of futures prices in a simple pure exchange economy. Testable pricing restrictions are derived from representative agent ...
144
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
... and futures returns on the application of a modified version of Inclan and Tiao (1994)’s iterated cumulative sum of squares (ICSS) algorithm that allows for dependent ...
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Dynamic modeling of commodity futures prices
... commodity futures prices by imple- menting nonlinear dynamic models apt to reproduce the patterns of speculative bubbles observed on the commodity price ...
118
Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
... We evaluate alternative models of the volatility of commodity futures prices based on high-frequency intraday data from the crude oil futures markets for the October 2001–December 2012 period. These ...
28
The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model
... The present paper proposes an empirical copula-GARCH model to better describe the joint comovement of variables in a portfolio of several cash and futures prices. This allows us to determine, for example, ...
19
Dynamics of the Forward Curve and Volatility of Energy Futures Prices
... energy prices exhibit strong backwardation, i.e., discounted futures prices are below spot ...discounted futures prices are higher than spot price and the cost of extraction was to ...
35
Does speculation impact what factors determine oil futures prices?
... After tting both models to the data we measure the predictive accuracy of each class of factors. We can see from the RMSE and MAE measures in Table 1 that the performance of the PC and Macro factors are almost identical ...
9
A General Approach to Recovering Market Expectations from Futures Prices (with an Application to Crude Oil)
... Unlike these earlier studies, we are not concerned with the predictive power of the excess return regression, but with the ability of the risk-adjusted futures price to predict the spot price. The latter question ...
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