scholarly journals An N-Factor Gaussian Model of Oil Futures Prices

2005 ◽  
Author(s):  
Gonzalo Cortazar ◽  
Lorenzo Naranjo
Keyword(s):  
Gaussian Model ◽  
Futures Prices ◽  
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

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

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

Adaptive Bands Z-Test-Statistics in Futures Markets: A New Technical Analysis Indicator

2013 ◽  
Vol 12 (3) ◽  
pp. 19-47
Author(s):  
Mohd Rizal Palil
Keyword(s):  
Soybean Oil ◽  
Futures Markets ◽  
Abnormal Returns ◽  
Technical Analysis ◽  
Test Statistics ◽  
Futures Prices ◽  
Oil Futures ◽  
Trading Rules

This paper presents a study of technical analysis trading rules that generate abnormal returns for futures prices.  It reports abnormal returns above that of the passive buy-and-hold policy for FKLI, FCPO, Soybean Oil Futures, Soybean Futures and Corn Futures for year 2008 tested. 

Determinants of oil futures prices and convenience yields

2012 ◽  
Vol 12 (12) ◽  
pp. 1795-1809 ◽  
Author(s):  
M. A. H. Dempster ◽  
Elena Medova ◽  
Ke Tang
Keyword(s):  
Futures Prices ◽  
Oil Futures
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