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Can the dynamics of the term structure of petroleum futures be forecasted? Evidence from major markets
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Chantziara, Thalia and Skiadopoulos, George (2008) Can the dynamics of the term structure of petroleum futures be forecasted? Evidence from major markets. Energy Economics, Vol.30 (No.3). pp. 962-985. doi:10.1016/j.eneco.2007.07.008 ISSN 0140-9883.
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Official URL: http://dx.doi.org/10.1016/j.eneco.2007.07.008
Abstract
We investigate whether the daily evolution of the term structure of petroleum futures can be forecasted. To this end, the principal components analysis is employed. The retained principal components describe the dynamics of the term structure of futures prices parsimoniously and are used to forecast the subsequent daily changes of futures prices. Data on the New York Mercantile Exchange (NYMEX) crude oil, heating oil, gasoline, and the International Petroleum Exchange (IPE) crude oil futures are used. We find that the retained principal components have small forecasting power both in-sample and out-of-sample. Similar results are obtained from standard univariate and vector autoregression models. Spillover effects between the four petroleum futures markets are also detected. (c) 2007 Elsevier B.V. All rights reserved.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Options Research Centre Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Petroleum industry and trade, Commodity futures, Economic forecasting, Futures market, Principal components analysis | ||||
Journal or Publication Title: | Energy Economics | ||||
Publisher: | Elsevier BV | ||||
ISSN: | 0140-9883 | ||||
Official Date: | May 2008 | ||||
Dates: |
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Volume: | Vol.30 | ||||
Number: | No.3 | ||||
Number of Pages: | 24 | ||||
Page Range: | pp. 962-985 | ||||
DOI: | 10.1016/j.eneco.2007.07.008 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
Data sourced from Thomson Reuters' Web of Knowledge
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