Showing papers on "Brent Crude published in 2001"
TL;DR: In this article, the authors used the GARCH properties of oil price changes to forecast the oil price distribution over short-term horizons, based on the bootstrap approach, and the results of an out-of-sample forecasting exercise, carried out using the Brent oil price series, suggest that the forecasting approach can be used to obtain a performance measure for the forward price, in addition to compute interval forecasts for the oil prices.
248 citations
TL;DR: The authors investigated the information transmission mechanism by looking at spillover effects and identifying which market is the true price leader in the energy market, and found that substantial spillover effect does exist when both markets are trading simultaneously, although IPE morning prices seem to be considerably affected by the close of the previous day on NYMEX.
156 citations
Abstract: This paper examines the price and volatility behaviour of two similar commodities (Brent Crude Oil and West Texas Intermediate) and attempts to identify the variables that affect their relative price differential Price spreads and convenience yields are estimated in an effort to test a number of hypotheses relating to market segmentation, seasonality and maturity effect Cash and futures price data covering the period 1991–1995 reveal that: convenience yields are significant and about 25% of cash prices on the average; convenience yields exhibit strong yearly and monthly seasonalities due to supply/demand imbalances; convenience yield is a negative function of the level of stocks and behaves like a call option; as maturity of futures contracts nears, their convenience yields get smaller, an indication that the maturity effect exists in futures prices, and crude oil price spreads are affected by convenience yields which act as surrogates for demand/supply conditions and market price behaviour
106 citations