Permanent and Transitory Demand Shocks and the Term Structure of Oil Futures Prices

2012 ◽  
Author(s):  
Jia He ◽  
Xiaolei Zha
Keyword(s):  
Term Structure ◽  
Futures Prices ◽  
Oil Futures ◽  
Demand Shocks

scholarly journals Commodity Price Forecasts, Futures Prices, and Pricing Models

2019 ◽  
Vol 65 (9) ◽  
pp. 4141-4155 ◽  
Author(s):  
Gonzalo Cortazar ◽  
Cristobal Millard ◽  
Hector Ortega ◽  
Eduardo S. Schwartz
Keyword(s):  
Term Structure ◽  
Commodity Price ◽  
Futures Prices ◽  
Pricing Models ◽  
Medium Term ◽  
Oil Futures ◽  
New Approach ◽  
Commodity Pricing ◽  
Spot Prices

Even though commodity-pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper develops a new approach to calibrate these models using not only observations of oil futures prices, but also analysts’ forecasts of oil spot prices. We conclude that to obtain reasonable expected spot curves, analysts’ forecasts should be used, either alone or jointly with futures data. The use of both futures and forecasts, instead of using only forecasts, generates expected spot curves that do not differ considerably in the short/medium term, but long term estimations are significantly different. The inclusion of analysts’ forecasts in addition to futures, instead of only futures prices, does not alter significantly the short/medium part of the futures curve but does have a significant effect on long-term futures estimations. This paper was accepted by Gustavo Manso, finance.

scholarly journals Risk premia in crude oil futures prices

2014 ◽  
Vol 42 ◽  
pp. 9-37 ◽  
Author(s):  
James D. Hamilton ◽  
Jing Cynthia Wu
Keyword(s):  
Crude Oil ◽  
Risk Premia ◽  
Futures Prices ◽  
Oil Futures ◽  
Crude Oil Futures

scholarly journals Risk Premia in Crude Oil Futures Prices

2013 ◽  
Author(s):  
James Hamilton ◽  
Jing Cynthia Wu
Keyword(s):  
Crude Oil ◽  
Risk Premia ◽  
Futures Prices ◽  
Oil Futures ◽  
Crude Oil Futures

AnN-factor Gaussian model of oil futures prices

2006 ◽  
Vol 26 (3) ◽  
pp. 243-268 ◽  
Author(s):  
Gonzalo Cortazar ◽  
Lorenzo Naranjo
Keyword(s):  
Gaussian Model ◽  
Futures Prices ◽  
Oil Futures

Implementing a stochastic model for oil futures prices

2003 ◽  
Vol 25 (3) ◽  
pp. 215-238 ◽  
Author(s):  
Gonzalo Cortazar ◽  
Eduardo S. Schwartz
Keyword(s):  
Stochastic Model ◽  
Futures Prices ◽  
Oil Futures
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