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dc.contributor.authorLautier, Delphine
dc.contributor.authorRiva, Fabrice
dc.date.accessioned2019-09-04T09:28:13Z
dc.date.available2019-09-04T09:28:13Z
dc.date.issued2008
dc.identifier.issn1753-0229
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19672
dc.language.isoenen
dc.subjectmicroeconomyen
dc.subjectdata analysisen
dc.subjectexchangesen
dc.subjectmarketsen
dc.subjectmacroeconomyen
dc.subject.ddc332en
dc.subject.classificationjelL.L7.L71en
dc.subject.classificationjelE.E4.E44en
dc.subject.classificationjelN.N2.N22en
dc.titleThe determinants of volatility on the American crude oil futures marketen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchange. It aims at examining whether this market creates excess volatility, which would not be observed in the absence of such a market. In order to reach this objective, price fluctuations are separated into two components: an information component that reflects a rational assessment of the information arrival, and an error component that represents the noise introduced by the trading process. We show that a significant part of the volatility recorded during exchange trading hours is caused by mispricing errors. In particular, this phenomenon affects the nearest futures contract.en
dc.relation.isversionofjnlnameOPEC Energy Review
dc.relation.isversionofjnlvol32en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2008
dc.relation.isversionofjnlpages105-122en
dc.relation.isversionofdoi10.1111/j.1753-0237.2008.00145.xen
dc.relation.isversionofjnlpublisherWileyen
dc.subject.ddclabelBourse, Marchés financiersen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-08-29T12:24:15Z
hal.person.labIds1032
hal.person.labIds1032
hal.identifierhal-02278255*


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