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dc.contributor.authorLautier, Delphine
dc.date.accessioned2009-04-01T15:32:28Z
dc.date.available2009-04-01T15:32:28Z
dc.date.issued2005
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/95
dc.descriptionLa version attachée à cette notice est la version soumise à publication.
dc.language.isoenen
dc.subjectSegmentationen
dc.subjectInformationen
dc.subjectFuture Pricesen
dc.subjectTerm Structureen
dc.subjectCrude Oilen
dc.subject.ddc332en
dc.subject.classificationjelG10en
dc.subject.classificationjelG13en
dc.subject.classificationjelO13en
dc.titleSegmentation in the Crude Oil Futures Term Structureen
dc.typeArticle accepté pour publication ou publiéen
dc.description.abstractenWhereas the spatial integration has already been examined in commodity markets, empirical tests on temporal integration have never been carried out. Relying on the “preferred habitat” theory, which is applied to the crude oil market, this article investigates whether this market is segmented or not. Segmentation is defined as a situation in which different parts of the prices curve are disconnected from each other. Consequently, the information conveyed by certain prices is useless when reconstituting the rest of the curve. Empirical tests are carried out with a term structure model, the performances of which depend on the informational value of the prices retained for the estimation. We show 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 47th months, and the third consists of maturities ranging from the 4th to 7th years.en
dc.relation.isversionofjnlnameFinance India
dc.relation.isversionofjnlvol19en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2005-12en
dc.relation.isversionofjnlpages1303-1320en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherPrints Indiaen
dc.subject.ddclabelEconomie financièreen


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