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Forecasting Accuracy of Crude Oil Futures Prices

Forecasting Accuracy of Crude Oil Futures Prices »

Source: Forecasting Accuracy of Crude Oil Futures Prices

Volume/Issue: 1991/93

Series: IMF Working Papers

Author(s): Manmohan Kumar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1991

ISBN: 9781451951110

Keywords: futures prices, crude oil, oil futures, futures markets, spot price

This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess return...

Efficiency in Commodity Futures Markets

Efficiency in Commodity Futures Markets »

Source: Efficiency in Commodity Futures Markets

Volume/Issue: 1989/106

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 December 1989

ISBN: 9781451946963

Keywords: futures prices, forecasting, futures markets, equation, commodity futures

The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, inclu...

Time Varying Risk Premia in Futures Markets

Time Varying Risk Premia in Futures Markets »

Source: Time Varying Risk Premia in Futures Markets

Volume/Issue: 1990/116

Series: IMF Working Papers

Author(s): Graciela Kaminsky , and Manmohan Kumar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1990

ISBN: 9781451941968

Keywords: futures markets, equation, commodity futures, forecasting, futures prices

This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures p...

Jumps, Martingales, and Foreign Exchange Futures Prices

Jumps, Martingales, and Foreign Exchange Futures Prices »

Source: Jumps, Martingales, and Foreign Exchange Futures Prices

Volume/Issue: 1996/21

Series: IMF Working Papers

Author(s): Zuliu Hu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 1996

ISBN: 9781451921649

Keywords: futures prices, martingale, foreign exchange futures, currency futures, statistics

A common specification about the behavior of foreign exchange spot and futures prices is that they follow continuous diffusion processes. The empirical regularities uncovered from daily and weekly currency futures...

The Information Content of Prices in Derivative Security Markets

The Information Content of Prices in Derivative Security Markets »

Source: The Information Content of Prices in Derivative Security Markets

Volume/Issue: 1991/132

Series: IMF Working Papers

Author(s): Louis Scott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1991

ISBN: 9781451932553

Keywords: bond, bond futures, futures price, option pricing, stock price

Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes inter...

Unconventional Monetary Policy and Asset Price Risk

Unconventional Monetary Policy and Asset Price Risk »

Source: Unconventional Monetary Policy and Asset Price Risk

Volume/Issue: 2013/190

Series: IMF Working Papers

Author(s): Shaun Roache , and Marina Rousset

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 August 2013

ISBN: 9781484383230

Keywords: Futures Pricing, Event Studies, futures contract, futures price, futures prices, risk-free interest rate, commodity futures contract,

We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a...

Commodities and the Market Price of Risk

Commodities and the Market Price of Risk »

Source: Commodities and the Market Price of Risk

Volume/Issue: 2008/221

Series: IMF Working Papers

Author(s): Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2008

ISBN: 9781451870794

Keywords: Asset pricing, Futures pricing., commodity futures, investors, risk premium, hedge, risk exposure, futures pricing,

Commodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying ris...

Financial Market Volatility and the Implications for Market Regulation: A Survey

Financial Market Volatility and the Implications for Market Regulation: A Survey »

Source: Financial Market Volatility and the Implications for Market Regulation : A Survey

Volume/Issue: 1990/112

Series: IMF Working Papers

Author(s): Louis Scott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1990

ISBN: 9781451944594

Keywords: stock market, stock prices, bond, stock index futures, futures markets

Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent yea...

Do Commodity Futures Help Forecast Spot Prices?

Do Commodity Futures Help Forecast Spot Prices? »

Source: Do Commodity Futures Help Forecast Spot Prices?

Volume/Issue: 2011/254

Series: IMF Working Papers

Author(s): David Reichsfeld , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463923891

Keywords: Asset Pricing, Futures Pricing, Financial Forecasting, futures price, futures prices, forecasting, random walk, futures markets, General Financial Markets: General (includes Measurement and Data),

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on...

How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock

How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock »

Source: How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock

Volume/Issue: 2010/222

Series: IMF Working Papers

Author(s): Nese Erbil , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455208876

Keywords: Asset pricing, inventories, futures price, futures prices, inventory, contango, General Equilibrium and Disequilibrium: General,

How does a commodity market adjust to a temporary scarcity shock which causes a shift in the slope of the futures price curve? We find long-run relationships between spot and futures prices, inventories and interes...