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Autor
Choi Hankyeung (Ministry of Strategy and Finance, Republic of Korea), Leatham David J. (Texas A&M University, Kingsville, USA), Sukcharoen Kunlapath (Texas A&M University, Kingsville, USA)
Tytuł
Oil Price Forecasting Using Crack Spread Futures and Oil Exchange Traded Funds
Źródło
Contemporary Economics, 2015, vol. 9, nr 1, s. 29-44, rys., tab., bibliogr. 24 poz.
Słowa kluczowe
Ceny ropy naftowej, Prognozowanie cen, Model GARCH, Fundusze ETF
Oil prices, Prediction of prices, GARCH model, Exchange Traded Fund (ETF)
Uwagi
summ.
Abstrakt
Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets. Specifically, the usefulness of the two crack spread derivatives products (namely, crack spread futures and the ETF crack spread) for modeling and forecasting daily OPEC crude oil spot prices is evaluated. Based on the results of a structural break test, the sample is divided into pre-crisis, crisis, and post-crisis periods. We find a unidirectional relationship from the two crack spread derivatives markets to the crude oil spot market during the post-crisis period. In terms of forecasting performance, the forecasting models based on crack spread futures and the ETF crack spread outperform the Random Walk Model (RWM), both in-sample and out-of-sample. In addition, on average, the results suggest that information from the ETF crack spread market contributes more to the forecasting models than information from the crack spread futures market.(original abstract)
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Bibliografia
Pokaż
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Cytowane przez
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ISSN
2084-0845
Język
eng
URI / DOI
http://dx.doi.org/10.5709/ce.1897-9254.158
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