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dc.contributor.authorLautier, Delphine
dc.date.accessioned2009-07-21T08:44:15Z
dc.date.available2009-07-21T08:44:15Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1245
dc.descriptionLa version attachée a été éditée dans la collection des Cahiers de recherche du CEREG, n°2003-06en
dc.language.isoenen
dc.subjectKalman filteren
dc.subjectTerm structureen
dc.subjectCrude oilen
dc.subjectSegmentationen
dc.subject.ddc332en
dc.subject.classificationjelB23en
dc.subject.classificationjelO13en
dc.titleThe informational value of crude oil futures pricesen
dc.typeCommunication / Conférence
dc.description.abstractenIn 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.en
dc.identifier.citationpages26en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleCongrès de l'Association Française de FInances (AFFI)en
dc.relation.confdate2003-06
dc.relation.confcityLyonen
dc.relation.confcountryFranceen


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