Forecasting crude oil futures prices using global macroeconomic news sentiment
نویسندگان
چکیده
منابع مشابه
Risk premia in crude oil futures prices
If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their positions. We show that this interaction can produce an affine factor structure to commodity futures prices,...
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ژورنال
عنوان ژورنال: IMA Journal of Management Mathematics
سال: 2019
ISSN: 1471-678X,1471-6798
DOI: 10.1093/imaman/dpz011