Post by Sapphire Capital on Jul 11, 2008 22:02:40 GMT 4
Can the Dynamics of the Term Structure of Petroleum Futures be Forecasted? Evidence from Major Markets
THALIA CHANTZIARA
New York University
GEORGE S. SKIADOPOULOS
University of Piraeus; Warwick Business School - Financial Options Research Centre
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Energy Economics, Vol. 30, No. 3, 2008
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.
papers.ssrn.com/sol3/papers.cfm?abstract_id=1125623
THALIA CHANTZIARA
New York University
GEORGE S. SKIADOPOULOS
University of Piraeus; Warwick Business School - Financial Options Research Centre
--------------------------------------------------------------------------------
Energy Economics, Vol. 30, No. 3, 2008
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.
papers.ssrn.com/sol3/papers.cfm?abstract_id=1125623