Showing papers on "Brent Crude published in 2003"
TL;DR: In this paper, the authors put forward Value-at-risk models relevant for commodity traders who have long and short trading positions in commodity markets, such as aluminium, copper, nickel, Brent crude oil and WTI crude oil daily cash prices and cocoa nearby futures contracts.
281 citations
Posted Content•
TL;DR: In this article, the efficiency of the Brent Crude oil future contracts and test whether futures can be used to predict realized oil spot prices was examined. And the unbiasedness hypothesis for future prices as predictors of realized spot prices could not be rejected.
Abstract: This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the explanation power is not high (around 20%). Furthermore, using cointegration techniques the unbiasedness hypothesis for future prices as predictors of realized spot prices could not be rejected. When the sample is divided into sub-periods, the absence of bias in futures prices is rejected.
14 citations