Long run analysis of crude oil portfolios
Cerqueti, R., Fanelli, V. and Rotundo, G. (2019). Long run analysis of crude oil portfolios. Energy Economics. 79, pp. 183-205.
|Authors||Cerqueti, R., Fanelli, V. and Rotundo, G.|
This paper deals with the analysis of the long-run behavior of a set of mispricing portfolios generated by three crude oils, where one of the oils is the reference commodity and it is compared to a combination of the other two ones. To this aim, the long-term parameter related to the mispricing portfolio are estimated on empirical data. We pay particular attention to the cases of mispricing portfolios either of stationary type or following a Brownian motion: the former situation is associated to replication portfolios of a reference commodity; the latter one allows to implement forecasts. The theoretical setting is validated through empirical data on WTI, Brent and Dubai oils.
|Journal citation||79, pp. 183-205|
|Digital Object Identifier (DOI)||doi:10.1016/j.eneco.2017.12.005|
|Online||08 Feb 2018|
|Publication process dates|
|Accepted||11 Dec 2017|
|Deposited||09 Mar 2020|
|Accepted author manuscript|
CC BY-NC-ND 4.0
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