Can The Dynamics Of The Term Structure Of Petroleum Futures Be Forecasted Evidence From Major Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Can The Dynamics Of The Term Structure Of Petroleum Futures Be Forecasted Evidence From Major Markets PDF full book. Access full book title Can The Dynamics Of The Term Structure Of Petroleum Futures Be Forecasted Evidence From Major Markets.
| Author | : Thalia Chantziara |
| Publisher | : |
| Total Pages | : |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Can the Dynamics of the Term Structure of Petroleum Futures be Forecasted? Evidence from Major Markets Book in PDF, ePub and Kindle
We investigate whether the daily evolution of the term structure of petroleum futures can be forecasted. To this end, the principal components analysis is employed. The retained principal components describe the dynamics of the term structure of futures prices parsimoniously and are used to forecast the subsequent daily changes of futures prices. Data on the New York Mercantile Exchange (NYMEX) crude oil, heating oil, gasoline, and the International Petroleum Exchange (IPE) crude oil futures are used. We find that the retained principal components have small forecasting power both in-sample and out-of-sample. Similar results are obtained from standard univariate and vector autoregression models. Spillover effects between the four petroleum futures markets are also detected.
| Author | : Kent Moors |
| Publisher | : John Wiley & Sons |
| Total Pages | : 324 |
| Release | : 2011-04-12 |
| Genre | : Business & Economics |
| ISBN | : 1118077091 |
Download The Vega Factor Book in PDF, ePub and Kindle
How oil volatility is affecting the global political scene, and where the oil market is heading The world is rapidly moving towards an oil environment defined by volatility. The Vega Factor: Oil Volatility and the Next Global Crisis takes an in-depth look at the most important topics in the industry, including strategic risk, why traditional pricing mechanisms will no longer govern the market, and how the current government approaches have only worsened an already bad situation. Details the industry's players, including companies, traders, and governments Describes the priorities that will need to be revised, and the policies needed to achieve stability Explains how today's oil market is fundamentally different from the pre-crisis market Oil prices affect everyone. The Vega Factor explains the new international oil environment of increasing consolidation and decreasing competition, and reveals how consumers and investors can navigate price volatility and new government policies.
| Author | : Anastasios G. E. T. Al MALLIARIS |
| Publisher | : World Scientific |
| Total Pages | : 844 |
| Release | : 2015-08-06 |
| Genre | : Business & Economics |
| ISBN | : 9814566926 |
Download The World Scientific Handbook of Futures Markets Book in PDF, ePub and Kindle
"The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics."--$cProvided by publisher.
| Author | : Mesias Alfeus |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2023 |
| Genre | : |
| ISBN | : |
Download Dynamic Roughness in the Term Structure of Oil Markets Volatility Book in PDF, ePub and Kindle
This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-analytical prices for futures options entailing efficient calibration applications. By performing a Monte-Carlo simulation study, we show that the semi-analytical pricing performs well thus establishing its efficiency for calibration applications. Thus, we calibrate option prices written on oil futures and provide empirical evidence of the roughness in oil volatility. Introducing just one additional parameter, the Hurst parameter, indicating the roughness of the volatility improves the calibration by almost a factor of 10. The calibrated option-implied Hurst parameter varies over time, but the entire set of parameters becomes more stable than in the non-rough case corresponding to a fixed Hurst parameter 1/2. These results underscore the importance to model the time dependency of the roughness of oil market volatility.
| Author | : Jozef Baruník |
| Publisher | : |
| Total Pages | : 26 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks Book in PDF, ePub and Kindle
The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed framework is empirically tested on 24 years of crude oil futures prices covering several important recessions and crisis periods. We find 1-month, 3-month, 6-month and 12-month-ahead forecasts obtained from focused time-delay neural network to be significantly more accurate than forecasts from other benchmark models. The proposed forecasting strategy produces the lowest errors across all times to maturity.
| Author | : Delphine Lautier |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Shock Propagation Across the Futures Term Structure Book in PDF, ePub and Kindle
To what extent are futures prices interconnected across the maturity curve? Where in the term structure do price shocks originate, and which maturities do they reach? We propose a new approach, based on information theory, to study these cross-maturity linkages and the extent to which connectedness is impacted by market events. We introduce the concepts of backward and forward information flows, and propose a novel type of directed graph, to investigate the propagation of price shocks across the WTI term structure. Using daily data, we show that the mutual information shared by contracts with different maturities increases substantially starting in 2004, falls back sharply in 2011-2014, and recovers thereafter. Our findings point to a puzzling re-segmentation by maturity of the WTI market in 2012-2014. We document that, on average, short-dated futures emit more information than do backdated contracts. Importantly, however, we also show that significant amounts of information flow backwards along the maturity curve - almost always from intermediate maturities, but at times even from far-dated contracts. These backward flows are especially strong and far-reaching amid the 2007-2008 oil price boom/bust.
| Author | : Richard G. Newell |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Informing SPR Policy Through Oil Futures and Inventory Dynamics Book in PDF, ePub and Kindle
This paper examines how information on the time pattern of expected future prices for crude oil, based on the term structure of futures contracts, can be used in informing whether to draw down, or contribute to the Strategic Petroleum Reserve (SPR). Such price information provides insight on expected changes in the supply-demand balance in the market and can also facilitate cost-effective transitions for SPR holdings. Backwardation in futures curves suggests that market participants expect shocks to be transitory, creating a stronger case for SPR releases. We use vector autoregression to analyze the relationship between the term structure of futures contracts, the management of private oil inventories, and other variables of interest. This relationship is used to estimate the magnitude of the impacts of SPR releases into the much larger global inventories system. Under the assumption that strategic releases can be modeled as surprise inventory additions, impulse response functions suggest that a strategic release of 10 million barrels would temporarily reduce spot prices by about 2% to 3% and mitigate backwardation by approximately 0.8 percentage points. Historical simulations suggest that past releases reduced spot prices by 15% to 20% and avoided about 5 percentage points of backwardation in futures curves, relative to a no-release counterfactual. This research can help policymakers determine when to release SPR reserves based on economic principles informed by market prices. It also provides an econometric model that can help inform the amount of SPR releases necessary to achieve given policy goals, such as reductions in prices or spreads.
| Author | : Jacques Gabillon |
| Publisher | : |
| Total Pages | : 43 |
| Release | : 1991-01-01 |
| Genre | : Commodity exchanges |
| ISBN | : 9780948061592 |
Download The Term Structure of Oil Futures Prices Book in PDF, ePub and Kindle
| Author | : Craig Pirrong |
| Publisher | : Cambridge University Press |
| Total Pages | : 238 |
| Release | : 2011-10-31 |
| Genre | : Business & Economics |
| ISBN | : 1139501976 |
Download Commodity Price Dynamics Book in PDF, ePub and Kindle
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
| Author | : Kam C. Chan |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Forecasting Oil Futures Market Volatility in a Financialized World Book in PDF, ePub and Kindle
We analyze the relation between volatility and speculative activities in the crude oil futures market and provide short-term forecasts accordingly. By incorporating trading volume and opening interest (speculative ratio) into the volatility dynamics, we document the subtle interaction between the two measures of which the volatility-averse behavior of speculative activities plays a considerable role in the market. Moreover, by accounting for structural changes, we find significant evidence that this behavior currently becomes weaker than in the past, which implies the oil futures market is less informative and/or less risk-averse in recent time period. Our forecasts based on these features perform very well under the predictive preferences that are consistent with the volatility-averse behavior in the oil futures market. We provide discussions and policy inferences.
