Long run analysis of crude oil portfolios
Journal article
Cerqueti, R., Fanelli, V. and Rotundo, G. (2019). Long run analysis of crude oil portfolios. Energy Economics. 79, pp. 183-205. https://doi.org/10.1016/j.eneco.2017.12.005
Authors | Cerqueti, R., Fanelli, V. and Rotundo, G. |
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Abstract | 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. |
Year | 2019 |
Journal | Energy Economics |
Journal citation | 79, pp. 183-205 |
Publisher | Elsevier BV |
ISSN | 0140-9883 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.eneco.2017.12.005 |
Publication dates | |
Mar 2019 | |
Online | 08 Feb 2018 |
Publication process dates | |
Accepted | 11 Dec 2017 |
Deposited | 09 Mar 2020 |
Accepted author manuscript | License File Access Level Open |
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https://openresearch.lsbu.ac.uk/item/89300
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