are crude oil, gas and coal prices co integrated?

Are Crude Oil, Gas And Coal Prices Co integrated?

The Relationship Between Crude Oil and Natural Gas Prices

This paper examines the time series econometric relationship between the Henry Hub natural gas price and the West Texas Intermediate (WTI) crude oil price. Typically, this relationship has been approached using simple correlations and deterministic trends. When data have unit roots as in this case, such analysis is faulty and subject to spurious results. We find a cointegrating relationship rel...

Forecasting commodity prices by classification methods: The cases of crude oil and natural gas spot prices

In this article, we forecast crude oil and natural gas spot prices at a daily frequency based on two classification techniques: artificial neural networks (ANN) and support vector machines (SVM). As a benchmark, we utilize an autoregressive integrated moving average (ARIMA) specification. We evaluate outof-sample forecast based on encompassing tests and mean-squared prediction error (MSPE). We ...

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,...

Compumetric Forecasting of Crude Oil Prices

This paper contains short term monthly forecasts of crude oil prices using compumetric methods. Compumetric forecasting methods are ones that use computers to identify the underlying model that produces the forecast. Typically, forecasting models are designed or specified by humans rather than machines. Compumetric methods are applied to determine whether models they provide produce reliable fo...

Anticipated and unanticipated effects of crude oil prices and oil inventory changes on gasoline prices

This paper proposes a method of distinguishing between the effect of anticipated and unanticipated changes in oil prices and oil inventories on the US gasoline prices. I show that gasoline price adjustments are faster and stronger for anticipated changes in oil prices and inventory levels than for unanticipated changes. The dynamics of the gasoline price response depends on the relative importa...