Forecasting Accuracy of Crude Oil Futures Prices

1991 ◽  
Author(s):  
Manmohan Kumar
Keyword(s):  
Crude Oil ◽  
Futures Prices ◽  
Oil Futures ◽  
Forecasting Accuracy ◽  
Crude 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

scholarly journals Research on the Correlation Between WTI Crude Oil Futures Price and European Carbon Futures Price

2021 ◽  
Vol 9 ◽  
Author(s):  
Zhengwei Ma ◽  
Yuxin Yan ◽  
Ruotong Wu ◽  
Feixiao Li
Keyword(s):  
Crude Oil ◽  
Carbon Emission ◽  
Mutual Effect ◽  
Futures Prices ◽  
Price Fluctuation ◽  
Oil Futures ◽  
Sea Levels ◽  
Crude Oil Futures ◽  
Futures Price ◽  
Emission Rights

In recent years, the rapid increase in CO2 concentration has accelerated global warming. As a result, sea levels rise, glaciers melt, extreme weather occurs, and species become extinct. As the world’s largest CO2 emission rights trading market, EU Emissions Trading System (EU-ETS) has reached 1.855 billion tons of quotas by 2019, influencing the development of the global carbon emission market. Crude oil, as one of the major fossil energy sources in the world, its price fluctuation is bound to affect the price of carbon emission rights. Therefore, this paper aims to reveal the correlation between crude oil futures prices and carbon emission rights futures prices by studying the price fluctuation. In this paper, the linkage between West Texas Intermediate (WTI) crude oil futures prices and European carbon futures prices was investigated. In addition, this paper selects continuous data of WTI crude oil futures prices and spot prices with European carbon futures prices from January 8, 2018 to November 27, 2020, and builds a smooth transformation regression (STR) model. The relationship between crude oil futures and carbon futures prices is studied in both forward and reversal linkage through empirical analysis. The results show that crude oil futures prices and carbon futures prices have a mutual effect on each other, and both linear and nonlinear correlations between the two prices exist. Based on the results of this research, some suggestions are provided.

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