Determinants of oil futures prices and convenience yields

DOI10.1080/14697688.2012.691202MaRDI QIDQ5745644zbMATH OpenOpenAlexFDO

Authors E. A. Medova, Ke Tang, M. 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

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

Recommendations

• Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
• scientific article; zbMATH DE number 1724292
• Stochastic models for oil prices and the pricing of futures on oil
• Commodity spot and futures prices under supply, demand, and financial trading: single input-output model
• Commodity futures term structure model

Cites work

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

Cited in

(11)

• Identifying the influential factors of commodity futures prices through a new text mining approach
• Forecasting crude oil prices: do technical indicators need economic constraints?
• Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
• Implied roughness in the term structure of oil market volatility
• Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
• Component structures of agricultural commodity futures traded on the Tokyo grain exchange
• Commodity spot and futures prices under supply, demand, and financial trading: single input-output model
• scientific article; zbMATH DE number 2133106 (Why is no real title available?)
• Calibration of a multifactor model for the forward markets of several commodities
• Statistical causality for multivariate nonlinear time series via Gaussian process models
• Stochastic models for oil prices and the pricing of futures on oil

This page was built for publication: Determinants of oil futures prices and convenience yields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5745644)