Show simple item record

dc.contributor.authorRiva, Fabrice
dc.contributor.authorLautier, Delphine
dc.date.accessioned2009-07-07T10:44:45Z
dc.date.available2009-07-07T10:44:45Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/878
dc.descriptionUne version de cet article, jointe a cette notice, a été éditée en Cahier de recherches du CEREG, n°2004-08.en
dc.language.isoenen
dc.subjectPetroleum
dc.subjectSecuritues markets
dc.subjectVolatility (Finance)
dc.subjectRisk
dc.subjectCommodity futures economic aspects
dc.subjectNew York (State)
dc.subjectCrude oilen
dc.subjectVolatilityen
dc.subjectFuture Pricesen
dc.subject.ddc332en
dc.subject.classificationjelE31en
dc.subject.classificationjelO13en
dc.subject.classificationjelG13en
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.isversionofjnldate2008-06
dc.relation.isversionofjnlpages105-122en
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/j.1753-0237.2008.00145.xen
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWiley - Blackwellen
dc.subject.ddclabelEconomie financièreen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record