Author: Chia-Lin ChangPublisher:
ISBN:
Category :
Languages : en
Pages : 24
Book Description
Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
Author: Chia-Lin ChangAnalyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets
Author: Chia-Lin ChangVolatility of Oil Prices
Author: Mr.Peter WickhamPublisher: International Monetary Fund
ISBN: 1451954727
Category : Business & Economics
Languages : en
Pages : 20
Book Description
This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers “spot” prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic) model, which allows the conditional variance to be time-variant, is estimated for the period which includes the oil price slump of 1986 and the surge in prices in 1990 as a result of the Iraqi invasion of Kuwait. The paper also discusses the growth of futures and derivative markets and the dynamic links between spot and futures markets.
Forecasting Accuracy of Crude Oil Futures Prices
Author: Mr.Manmohan S. KumarPublisher: International Monetary Fund
ISBN: 1451951116
Category : Business & Economics
Languages : en
Pages : 54
Book Description
This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models, as well as judgemental forecasts. The paper also explores the predictive power of futures prices by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using a variety of different weighting schemes. Finally, the paper investigates whether the forecasts from using futures prices can be improved by incorporating information from other forecasting techniques.
Forecasting the Volatility of Stock Market and Oil Futures Market
Author: Dexiang MeiPublisher: Scientific Research Publishing, Inc. USA
ISBN: 164997048X
Category : Business & Economics
Languages : en
Pages : 139
Book Description
The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.
Oil Price Volatility and the Role of Speculation
Author: Samya Beidas-StromPublisher: International Monetary Fund
ISBN: 1498303846
Category : Business & Economics
Languages : en
Pages : 34
Book Description
How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.
Speculation and Return Volatility
Author: Rui WangThe NYMEX Crude Oil Futures Market
Author: Christophe ChassardPublisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 76
Book Description
The Vega Factor
Author: Kent MoorsPublisher: John Wiley & Sons
ISBN: 1118077091
Category : Business & Economics
Languages : en
Pages : 324
Book Description
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.
Global Implications of Lower Oil Prices
Author: Mr.Aasim M. HusainPublisher: International Monetary Fund
ISBN: 151357227X
Category : Business & Economics
Languages : en
Pages : 41
Book Description
The sharp drop in oil prices is one of the most important global economic developments over the past year. The SDN finds that (i) supply factors have played a somewhat larger role than demand factors in driving the oil price drop, (ii) a substantial part of the price decline is expected to persist into the medium term, although there is large uncertainty, (iii) lower oil prices will support global growth, (iv) the sharp oil price drop could still trigger financial strains, and (v) policy responses should depend on the terms-of-trade impact, fiscal and external vulnerabilities, and domestic cyclical position.