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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: This article studied the equilibrium relationship between the WTI and the Brent crude oil indexes in prices and in option-implied moments using fractional cointegration models from 2008-2016.
Abstract: We study the equilibrium relationship between the WTI and the Brent crude oil indexes in prices and in option-implied moments using fractional cointegration models from 2008-2016. This period has been subject to changing constraints in terms of rising US inventories and falling demand. Our results suggest there exists a cointegrating relationship in prices as well as between risk-neutral moments. While a long-lasting spread in prices is not supported by the data, our results support a significant volatility differential between the two oil indexes. The Cushing bottleneck is linked to slower speeds of adjustment to disequilibrium for both indexes as well as a fragmentation of the international equilibrium for tail and crash risk, especially for longer horizons. Crash and tail risk are more locally driven and less affected by the international equilibrium than are price and volatility.

4 citations

Book ChapterDOI
Wei Xu1, Jue Wang1, Xun Zhang1, Wen Zhang1, Shouyang Wang1 
27 May 2007
TL;DR: A new hybrid approach is presented to analyze factors affecting crude oil price using rough set and wavelet neural network and the predictability of crude oil prices is discussed.
Abstract: In this paper, a new hybrid approach is presented to analyze factors affecting crude oil price using rough set and wavelet neural network. Related factors that affect crude oil price are found using text mining technique and Brent oil price is chosen as the decision price because it plays an important role in world crude oil markets. The relevant subsets of the factors are discovered by rough set module and the main factors are got, and then the important degrees of these are measured using wavelet neural network. Based on the novel hybrid approach, the predictability of crude oil price is discussed.

4 citations

Journal ArticleDOI
TL;DR: In this article, the authors apply Schwartz and Smith's model to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts, and they show that the two factors explain the Samuelson effect well and the model present well goodness of fit.
Abstract: In the last two years, the world crude oil prices have dropped dramatically, and consequently the oil market has become very volatile and risky. Since energy markets play very important roles in the international economy and have led several global economic crises, risk management of energy products prices becomes very important for both academicians and market participants. We apply Schwartz and Smith?s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts. The model includes a long-term factor and a short-term factor. We show that the two factors explain the Samuelson effect well and the model present well goodness of fit. Our backtesting results demonstrate that the models provide satisfactory risk measures for listed crude oil futures contracts. A simple estimation method possessing quick convergence is developed.

4 citations

Journal ArticleDOI
TL;DR: The relationship between oil price shocks and supersector returns changes through time and depends on the sector as mentioned in this paper, with a particular emphasis on the impact of the subprime crisis and the euro debt crisis on this relationship.
Abstract: Purpose This paper aims to assess the asymmetric effects of oil price shocks and the impact of oil price volatility on the Eurozone’s supersector returns, with a particular emphasis on the impact of the subprime crisis and the euro debt crisis (EDC) on this relationship. Design/methodology/approach Empirical data consist of daily observations of the 19 EURO STOXX supersector indices and the Brent crude oil price index for the period January 2001 to August 2015. This paper uses a non-linear multifactor market model. This model accounts for heteroscedasticity and breakpoints that are identified by the Bai and Perron (1998, 2003) tests. Findings The results show that supersector returns are sensitive to oil price shocks. However, in most cases, their responsiveness to oil price volatility is not significant. The relationship between oil price shocks and supersector returns changes through time and depends on the sector. Financial turbulence affects the oil-stock market nexus. In most cases, the subprime crisis has had a positive impact on the oil-stock market relationship, whereas the EDC has had an overall negative effect. Before the subprime crisis, there is an evidence of asymmetric effects for some supersectors. Meanwhile, for most sectors, the asymmetric effects disappear after 2008. Originality/value The study improves understanding of the interaction between oil price risk and the Eurozone sector indices returns. Furthermore, it enables global investors to manage the risk inherent to the portfolio managers’ positions.

4 citations


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