Risk Premiums and Efficiency in the Market for Crude Oil Futures
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Cited by:
- Kanamura, Takashi, 2009. "A supply and demand based volatility model for energy prices," Energy Economics, Elsevier, vol. 31(5), pages 736-747, September.
- Christiane Baumeister, 2021.
"Measuring Market Expectations,"
Working Papers
202163, University of Pretoria, Department of Economics.
- Baumeister, Christiane, 2021. "Measuring Market Expectations," CEPR Discussion Papers 16520, C.E.P.R. Discussion Papers.
- Christiane Baumeister, 2021. "Measuring Market Expectations," CESifo Working Paper Series 9305, CESifo.
- Christiane Baumeister, 2021. "Measuring Market Expectations," NBER Working Papers 29232, National Bureau of Economic Research, Inc.
- Herbert, John H, 1995. "Trading volume, maturity and natural gas futures price volatility," Energy Economics, Elsevier, vol. 17(4), pages 293-299, October.
- Plourde, A. & Watkins, G.C., 1993. "Crude Oil Prices: How Volatile in relation to Other Commodities?," Working Papers 9304e, University of Ottawa, Department of Economics.
- Plourde, André & Watkins, G. C., 1998. "Crude oil prices between 1985 and 1994: how volatile in relation to other commodities?," Resource and Energy Economics, Elsevier, vol. 20(3), pages 245-262, September.
- Michael S. Haigh & Matthew T. Holt, 2002. "Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 269-289.
- Deaves, Richard & Charupat, Narat, 2002. "Backwardation and Normal Backwardation in Energy Futures Markets: With an Application to Metallgesellschaft's Short-Dated Rollover Hedging of Long-Term Contracts," ZEW Discussion Papers 02-59, ZEW - Leibniz Centre for European Economic Research.
- Apostolos Serletis & Asghar Shahmoradi, 2007.
"Returns and Volatility in the NYMEX Henry Hub Natural Gas Futures Market,"
World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 15, pages 193-204,
World Scientific Publishing Co. Pte. Ltd..
- Apostolos Serletis & Asghar Shahmoradi, 2006. "Returns and volatility in the NYMEX Henry Hub natural gas futures market," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 30(3), pages 171-186, September.
- Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
- Sadorsky, Perry, 2002. "Time-varying risk premiums in petroleum futures prices," Energy Economics, Elsevier, vol. 24(6), pages 539-556, November.
- Bisht Deepak & Laha, A. K., 2017. "Assessment of Density Forecast for Energy Commodities in Post-Financialization Era," IIMA Working Papers WP 2017-07-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Nikkinen, Jussi & Rothovius, Timo, 2019. "The EIA WPSR release, OVX and crude oil internet interest," Energy, Elsevier, vol. 166(C), pages 131-141.
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- F0 - International Economics - - General
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