Time-varying spot and futures oil price dynamics

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/5059

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DC Field	Value	Language
dc.contributor.author	Caporale, GM	-
dc.contributor.author	Ciferri, D	-
dc.contributor.author	Girardi, A	-
dc.date.accessioned	2011-04-18T11:21:20Z	-
dc.date.available	2011-04-18T11:21:20Z	-
dc.date.issued	2010	-
dc.identifier.citation	Economics and Finance Working Paper, Brunel University, 10-06	en_US
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/5059	-
dc.description.abstract	We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important role than spot markets in the case of contracts with shorter maturities, but the relative contribution of the two types of market turns out to be highly unstable, especially for the most deferred contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed.	en_US
dc.language.iso	en	en_US
dc.publisher	Brunel University	en_US
dc.subject	Cointegration	en_US
dc.subject	Oil market	en_US
dc.subject	Futures prices	en_US
dc.subject	Price discovery	en_US
dc.title	Time-varying spot and futures oil price dynamics	en_US
dc.type	Working Paper	en_US
Appears in Collections:	Economics and Finance Dept of Economics and Finance Research Papers

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