Oil futures
The Empirical Analysis on Prices of the Malaysian Crude Palm oil Futures Market
... Since the outcome of Johansen’s test shows that there is only one cointegrating vector, we estimate the short run model using the single equation generalized unrestricted model (GUM) applying the instrumental variable ...
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Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
... Two measures of forecast accuracy were computed for each calendar year, 2002–2012: the root mean square forecast error (RMSE) and the mean ab- solute forecast error (MAE), each based on the differences between the fore- ...
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Psychological barriers in oil futures markets
... the oil futures market to further investigation for the presence of other psychologically-derived price ...uence oil futures ...in oil prices at $145/$146 per barrel in 2007 and the ...
12
Understanding the nature of oil fluctuations using 1 neutral network moving average: A study on the returns of crude oil futures
... crude oil futures contracts traded on Chicago Merchantile Exchange and on Bursa Derivative ...the futures contract on crude light oil futures traded from 2/1/2008 to 31/12/2014 offer a ...
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A fear index to predict oil futures returns
... predict oil futures across our regressions (up to 25% of the adjusted ...of oil prices, and therefore stands out as an intuitive measure of investors’ threats ...the oil price might be able to ...
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The effect of crude oil futures price on risk premium volatilities in the futures market
... commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in which the duration of observed contracts changes with each ...crude oil futures risk ...
6
Does speculation impact what factors determine oil futures prices?
... and oil futures pricing dynamics we take a dierent approach; examining the impact speculative activity has on the predictive accuracy of two distinct classes of factors in determining the returns on ...
9
Determinants of Oil Futures Prices
... of oil futures prices. We evaluate commodity pricing with oil occupying a special position due to highly inelastic ...in oil prices, there is theoretical and practical interest in identifying ...
8
Volatility Spillover Effect of International Crude Oil Futures and China-Russia Stock Market: A Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution Analysis
... crude oil futures and China-Russia stock markets, and explores the relationship between crude oil and stock markets by comparing the impact of international crude oil futures prices on ...
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Evaluating the hedging effectiveness in crude palm oil futures market during financial crises
... crude oil futures contract market from 1986 to ...crude oil markets to be slightly efficient than traditional hedging strategy in the corn futures market ...
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Crude oil futures traders: Who is watching whom?
... crude oil futures traders, as categorized by the ...crude oil futures and makes the trading decisions without the influence of other traders, and 4) the Other Reportable and Nonreportable ...
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Costs and Benefits of Using NYMEX Crude Oil Futures
... The standard pricing model applied to com- modity futures is based on the idea that a risk premium determines the relation between the market price of a futures contract and the corre- s[r] ...
9
The Relation between Implied Volatility Index and Crude Oil Prices
... crude oil prices and OVX are strongly ...crude oil prices remain lower during this period; consequently, the OVX level appears to be ...investor: Oil futures can serve better in order to hedge ...
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Assessing the Cross-Commodity Relationships in Energy Markets
... Crude Oil futures price traded in US Dollar per barrel, Brent is the InterContinental Exchange (ICE) Brent Crude futures price traded in US Dollar per barrel, Gasoil is the Reformulated Regular ...
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Performance of Crude Oil Commodity Futures Market in MCX in India
... Crude Oil An oil futures contract is an agreement to buy or sell a certain number of barrels set amount of oil at a predetermined price, on a predetermined ...When futures are ...
5
Oil subsidies and the risk exposure of oil user stocks: Evidence from net oil producers
... of oil-user ...crude oil futures traded on the New York Mercantile Exchange (OIL), and the conditional variance of daily oil price returns (VOIL) from an AR(1)-GARCH(1,1) ...median ...
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Do spot and future palm oil prices influence the stock market prices of a major palm oil producer? the Malaysian experience
... palm oil as a measure for palm oil spot price (SP) and month-end closing 3 month contract Malaysian palm oil futures price as a measure for palm oil futures price (FU) as quoted ...
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Testing for weak form efficiency of Crude Palm Oil Spot and Futures Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks
... palm oil, there was a significant decline in export prices for crude palm oil in the ...palm oil futures prices also declined through 2008. Crude palm oil futures prices in ...
23
Futures risk premia in the era of shale oil
... on oil prices within a unified modelling ...shale oil has impacted oil prices through the producers’ supply and hedging ...crude oil, in which prices are determined in equilibrium from the ...
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Futures Trading and Spot Market Volatility: Evidence from Indian Commodity Markets
... index futures on the volatility of the fundamental spot market has increasingly received the awareness of researchers and policy makers ...index futures in the context of several stock market crashes, such ...
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