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Author: Menzie David Chinn
Publisher:
ISBN:
Category : Futures
Languages : en
Pages : 34
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Book Description
"This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline, heating oil markets and natural gas). In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while futures prices are unbiased predictors of future spot prices, with the exception those in the natural gas markets at the 3-month horizon. Futures do not appear to well predict subsequent movements in energy commodity prices, although they slightly outperform time series models"--National Bureau of Economic Research web site.
Author: Menzie David Chinn
Publisher:
ISBN:
Category : Futures
Languages : en
Pages : 34
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Book Description
"This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline, heating oil markets and natural gas). In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while futures prices are unbiased predictors of future spot prices, with the exception those in the natural gas markets at the 3-month horizon. Futures do not appear to well predict subsequent movements in energy commodity prices, although they slightly outperform time series models"--National Bureau of Economic Research web site.
Author: Menzie D. Chinn
Publisher:
ISBN:
Category : Commodity futures
Languages : en
Pages : 37
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Book Description
This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. While energy futures prices are generally unbiased predictors of future spot prices, there is much stronger evidence against the null for other commodity markets. This difference appears to be driven in part by the depth of each market. We find that over the last five years, it is much harder to reject the null of futures prices being unbiased predictors of future spot prices than in earlier periods for almost all commodities. In addition, futures prices do approximately as well as a random walk in forecasting future spot prices, and vastly outperform a reduced form empirical model -- National Bureau of Economic Research web site.
Author: Menzie David Chinn
Publisher:
ISBN:
Category : Commodity futures
Languages : en
Pages : 37
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Book Description
This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. While energy futures prices are generally unbiased predictors of future spot prices, there is much stronger evidence against the null for other commodity markets. This difference appears to be driven in part by the depth of each market. We find that over the last five years, it is much harder to reject the null of futures prices being unbiased predictors of future spot prices than in earlier periods for almost all commodities. In addition, futures prices do approximately as well as a random walk in forecasting future spot prices, and vastly outperform a reduced form empirical model.
Author: Menzie David Chinn
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
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Book Description
This paper examines the relationship between futures and spot prices for energy commodities. In particular, we examine whether futures prices are (1) an unbiased predictor of subsequent spot prices and (2) whether futures prices are a good predictor of subsequent spot prices, in the crude oil, gasoline, heating oil markets and natural gas markets. We find that while futures prices are unbiased predictors of future spot prices in the first three markets, they are also fairly inaccurate predictors. Natural gas futures prices are both a biased predictor of subsequent spot prices at two of three horizons examined, and a poor predictor.
Author: Menzie Chinn
Publisher:
ISBN:
Category : Energy consumption
Languages : en
Pages : 23
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Book Description
Author: Uğur Soytaş
Publisher: Routledge
ISBN: 1315459639
Category : Business & Economics
Languages : en
Pages : 736
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Book Description
Energy consumption and production have major influences on the economy, environment, and society, but in return they are also influenced by how the economy is structured, how the social institutions work, and how the society deals with environmental degradation. The need for integrated assessment of the relationship between energy, economy, environment, and society is clear, and this handbook offers an in-depth review of all four pillars of the energy-economy-environment-society nexus. Bringing together contributions from all over the world, this handbook includes sections devoted to each of the four pillars. Moreover, as the financialization of commodity markets has made risk analysis more complicated and intriguing, the sections also cover energy commodity markets and their links to other financial and non-financial markets. In addition, econometric modeling and the forecasting of energy needs, as well as energy prices and volatilities, are also explored. Each part emphasizes the multidisciplinary nature of the energy economics field and from this perspective, chapters offer a review of models and methods used in the literature. The Routledge Handbook of Energy Economics will be of great interest to all those studying and researching in the area of energy economics. It offers guideline suggestions for policy makers as well as for future research.
Author: Cindy W. Ma
Publisher:
ISBN:
Category : Gasoline
Languages : en
Pages : 0
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Book Description
Author: Amir H. Alizadeh
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
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Book Description
The shapes of forward curves of energy commodities are believed to contain information on the volatility of futures prices for these commodities. The slope of the forward curve not only reflects temporal supply and demand conditions, but also the relationship between current and expected market conditions. However, no empirical investigation exists in the literature on whether utilising information on the slopes of the forward curves of energy commodities can improve one's ability to capture the dynamics of the volatility of the futures prices of these commodities. The aim of this study is to undertake such an investigation. Daily energy futures prices traded on the New York Mercantile Exchange (NYMEX) over the period January 1997 to December 2006 are used to estimate the parameters of an augmented transition EGARCH model that allows for changes in the model's parameters based on the forward curve. The forecasting performance of the model is compared to that of other models in predicting the volatility of energy futures prices over the period January 2007 to December 2008. The results provide strong support in favour of a convex relationship between the volatility of energy futures prices and the forward curve.
Author: André Dorsman
Publisher: Springer Science & Business Media
ISBN: 3642306012
Category : Business & Economics
Languages : en
Pages : 249
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Book Description
Energy issues feature frequently in the economic and financial press. Specific examples of topical energy issues come from around the globe and often concern economics and finance. The importance of energy production, consumption and trade raises fundamental economic issues that impact the global economy and financial markets. This volume presents research on energy economics and financial markets related to the themes of supply and demand, environmental impact and renewables, energy derivatives trading, and finance and energy. The contributions by experts in their fields take a global perspective, as well as presenting cases from various countries and continents.
Author: Ravinesh Deo
Publisher: Elsevier
ISBN: 012817773X
Category : Science
Languages : en
Pages : 553
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Book Description
Predictive Modeling for Energy Management and Power Systems Engineering introduces readers to the cutting-edge use of big data and large computational infrastructures in energy demand estimation and power management systems. The book supports engineers and scientists who seek to become familiar with advanced optimization techniques for power systems designs, optimization techniques and algorithms for consumer power management, and potential applications of machine learning and artificial intelligence in this field. The book provides modeling theory in an easy-to-read format, verified with on-site models and case studies for specific geographic regions and complex consumer markets. Presents advanced optimization techniques to improve existing energy demand system Provides data-analytic models and their practical relevance in proven case studies Explores novel developments in machine-learning and artificial intelligence applied in energy management Provides modeling theory in an easy-to-read format
