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Brent Crude

About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.


Papers
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Journal ArticleDOI
TL;DR: In this article , the forecasting ability of categorical EPU indexes for both WTI and Brent oil futures was analyzed and shown to be asymmetric through global financial crisis, business cycle and different market conditions.

16 citations

Journal ArticleDOI
TL;DR: In this article , a method combining fuzzy time series and the greatest integer function is developed to predict crude oil prices in COVID-19 pandemic period and the results show that the model outperforms other counterparts or ANN and SVM methods.
Abstract: The world has been undergoing a global economic recession for almost two years because of the health crisis stemming from the outbreak and its effects have still continued so far. Especially, COVID-19 reduced consumer spending due to social isolation, lockdown and travel restrictions in 2020. As a result of this, with social and economic life coming to a standstill, oil prices plummeted. With the ongoing uncertainty concerning the COVID-19 pandemic, it has been of great importance for all economic agents to predict crude oil prices. The objective of this paper is to improve a model in order to make more accurate predictions for crude oil price movements. The performance of this model is assessed in terms of some significant criteria comparing our model with its counterparts as well as artificial neural networks (ANNs) and support vector machine (SVM) methods. As for these criteria, root mean square error (RMSE) and mean absolute error (MAE) results show that this model outperforms other models in forecasting crude oil prices. Further, the simulation results for 2021 show that the daily crude oil price forecasts are almost close to the real oil prices. Oil price forecasting has become more and more important for economic agents in COVID-19 period. A consistent model is required to cope with the movements in crude oil prices. A novel method combining fuzzy time series and the greatest integer function is developed. The results show that our model outperforms other counterparts or ANN and SVM methods. We capture non-linearity and volatility in crude oil prices.

16 citations

Book ChapterDOI
01 Jan 2010
TL;DR: In this article, the authors investigated the relationship between crude oil, natural gas and electricity prices using the Engle-Granger cointegration framework and showed that a possible integration may exist and it can be measured using a co-integration approach.
Abstract: This study investigates the relationship between crude oil, natural gas and electricity prices. A possible integration may exist and it can be measured using a cointegration approach. The relationship between energy commodities may have several implications for the pricing of derivative products and for risk management purposes. Using daily price data for Brent crude oil, NBP UK natural gas and EEX electricity we analyse the short- and long-run relationship between these markets. An unconditional correlation analysis is performed to study the short-term relationship, which appears to be very unstable and dominated by noise. A long-run relationship is analysed using the Engle-Granger cointegration framework. Our results indicate that gas, oil and electricity markets are integrated. The framework used allows us to identify a short-run relationship.

16 citations

Journal ArticleDOI
TL;DR: In this paper, price linkages between markets beyond national boundaries are recognized and augmented models of futures pricing that incorporate such linkages into the information set can be expected to be superior empirically.
Abstract: With the globalization of financial and commodity markets, it is becoming increasingly important to recognize price linkages between markets beyond national boundaries. Models of futures pricing that incorporate such price linkages into the information set can be expected to be superior empirically. Test results obtained in the paper support this proposition strongly in the case of Brent crude oil futures contracts traded in a mutual offset system between the Singapore International Monetary Exchange (SIMEX) and the International Petroleum Exchange (IPE). Augmented models of SIMEX Brent futures contracts are obtained by incorporating the previous day's IPE Brent futures price into the equation system for the unbiased expectations and the cost-of-carry hypotheses, whereas augmented models of IPE Brent futures contracts are obtained by incorporating the same day's SIMEX Brent futures price in the system for the two hypotheses. On the basis of tests of zero restrictions, the system for the augmented unbiased...

16 citations

Posted Content
TL;DR: In this paper, the authors tried to measure oil price uncertainty based on the conditional standard deviations using univariate (G)ARCH moels and found that the preferred model is a symmetric GARCH(1,3) model asymmetric leverage effects are not found.
Abstract: In this paper we try to measure oil price uncertainty The measure of uncertainty is based on the conditional standard deviations The time-varying conditional standard deviations are estimated using univariate (G)ARCH moels We focus on volatility of the price of a barrel Brent crude, over the period 5 January, 1982 to 23 April, 2002 representing 5296 daily observations The preferred model is a symmetric GARCH(1,3) model Asymmetric leverage effects are not found We also examine the volatility in monthly time series for the period January, 1970 to April, 2002 For this time span and frequency we prefer the GARCH(1,1) model

16 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
202346
202266
202162
202064
201952
201845