Long run analysis of crude oil portfolios

Roy Cerqueti

doi:10.1016/j.eneco.2017.12.005

Long run analysis of crude oil portfolios

Roy Cerqueti

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

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.

Original language	English
Pages (from-to)	183-205
Journal	Energy Economics
DOIs	https://doi.org/10.1016/j.eneco.2017.12.005
Publication status	Published - Mar 2019
Externally published	Yes

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10.1016/j.eneco.2017.12.005Licence: CC BY-NC-ND 4.0

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title = "Long run analysis of crude oil portfolios",

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.",

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AB - 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.

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DO - 10.1016/j.eneco.2017.12.005

M3 - Article

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JO - Energy Economics

JF - Energy Economics

ER -

Long run analysis of crude oil portfolios

Abstract

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