Seasonality in petroleum futures spreads
Article Abstract:
There is a structurally substantial periodicity in petroleum futures spreads. Historically basic buy (sell) and hold trading schemes may be lucrative and in numerous cases, are notably greater than zero after transaction costs of $100 for round-turn trade are considered. It is possible that more advanced studies may generate even better effects since relatively fundamental trading strategies may be lucrative.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1998
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Risk premiums on inventory assets: the case of crude oil and natural gas
Article Abstract:
Research is presented concerning the use of an econometric analysis derived from a stochastic model to determine the risk premiums on natural gas and crude oil. The variation in risk premiums is discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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Risk arbitrage opportunities in petroleum futures spreads
Article Abstract:
A model for long-term pricing of petroleum product futures is presented. Prices for fuel oil, gasoline, and crude oil futures are cointegrated.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1999
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