In this work, we propose an analysis of the global market for crude oil based on a revised version Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On respect, replace proxy above-ground inventories with futures-spot spread. The latter is defined as percent deviation futures price from spot it represents measure convenience yield but expressed opposite sign....

Coffee is both an important source of export revenue for developing countries and the underlying asset for the largest futures markets in soft commodities. This paper examines the interdependence of these spot and futures markets, with particular emphasis on the effect futures trading activity, especially speculative behaviour, has on the price risk in spot markets. We identify change points as...

This paper studies the dynamic relationship among futures price, spot price of Shanghai metal and futures price of London with the co-integration theory, Granger causality tests, residue analysis, impulse responses function, and variance decomposition on the VECM. The study shows the three have the long equilibrium relationship: the copper futures price of Shanghai have internalities to the fut...

We study the returns to investing in VIX futures and VIX Exchange Traded Notes (ETNs). We document a substantial negative return premium for both ETNs and the futures. For example, the a constant maturity portfolio of one-month VIX futures loses about 30% per year over our sample period (2006-2013). We propose an equilibrium model to explain these negative returns. In this model, increases in v...

This paper combines the Heterogeneous Autoregressive Realised Volatility (HAR-RV) model and Markov Regime Switching (MRS) approach to estimate forecast volatility of energy futures contracts traded at Tokyo Commodity Exchange (TOCOM). The proposed MRS-HAR-RV allows dynamics realised change as market conditions change. dataset consists intraday prices for gasoline, kerosene crude oil futures. Es...

Background: Over 50 years after the introduction of futures studies, the number of such studies in medical education is very limited. Familiarization with futures studies can have a positive effect on the application of these studies in medical education. The study was performed to Review and synthesize the best existing evidence in the literature that addresses the question, "...

Our understanding of the processes underlying the formation of heavy oil has been transformed in the last decade. The process was once thought to be driven by oxygen delivered to deep petroleum reservoirs by meteoric water. This paradigm has been replaced by a view that the process is anaerobic and frequently associated with methanogenic hydrocarbon degradation. The thermal history of a reservo...