Determinants of oil futures prices and convenience yields

DOI10.1080/14697688.2012.691202zbMath1280.91168OpenAlexW2007216561MaRDI QIDQ5745644

E. A. Medova, Ke Tang, Michael A. H. Dempster

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.691202

zbMATH Keywords

Kalman filterSVARtheory of storageoil futuresfutures term structuretheory of normal backwardation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Inventory, storage, reservoirs (90B05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling ⋮ Forecasting crude oil prices: do technical indicators need economic constraints? ⋮ Statistical causality for multivariate nonlinear time series via Gaussian process models ⋮ Identifying the influential factors of commodity futures prices through a new text mining approach

Cites Work

• Hedging Pressure and Futures Price Movements in a General Equilibrium Model
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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