
The informational value of crude oil futures prices
Lautier, Delphine (2003), The informational value of crude oil futures prices, Congrès de l'Association Française de FInances (AFFI), 2003-06, Lyon, France
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Type
Communication / ConférenceDate
2003Titre du colloque
Congrès de l'Association Française de FInances (AFFI)Date du colloque
2003-06Ville du colloque
LyonPays du colloque
FrancePages
26
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Lautier, DelphineRésumé (EN)
In order to enhance the understanding of the term structure of commodity prices, this article examines the temporal integration of the American crude oil futures market. The study relies on a database including futures prices for very long maturities (as far as seven years) and compares their informational value for various delivery dates. Segmentation is defined as a situation where different parts of the prices curve are disconnected from each other’s. Consequently, the information conveyed by some futures prices is useless to reconstitute the rest of the curve. Empirical tests are carried out with a term structure model, whose performances depend on the informational value of the futures prices retained for its estimation. The results lead to the conclusion that the crude oil futures market is segmented into three parts. The first corresponds to maturities below 28 months, the second is situated between the 29th and the 47th months, and the third consists of maturities ranging from the 4th to the 7th year.Mots-clés
Kalman filter; Term structure; Crude oil; SegmentationPublications associées
Affichage des éléments liés par titre et auteur.
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Lautier, Delphine (2005) Article accepté pour publication ou publié
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Lautier, Delphine; Raynaud, Franck; Robe, Michel (2014-08) Document de travail / Working paper
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Lautier, Delphine; Raynaud, Franck; Robe, Michel (2017) Communication / Conférence