Volume 8, Issue 29 (10-2017)
jemr 2017, 8(29): 7-35 |
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behradmehr N, mehrara M, mazraati M, dadafarid H. Forecasting Risk Premium in Crude Oil futures Market with BVAR. jemr 2017; 8 (29) :7-35
URL: http://jemr.khu.ac.ir/article-1-1249-en.html
URL: http://jemr.khu.ac.ir/article-1-1249-en.html
1- university of tehran
2- Institute for International Energy Studies
3- university of tehran ,dadafarid.h@alumni.ut.ac.ir
2- Institute for International Energy Studies
3- university of tehran ,
Abstract: (6531 Views)
In this paper, risk-premium (the difference between the future prices and expected future spot price) in US crude oil futures market over the period of 1989:1 to 2012: 11 is investigated, and then variability of risk-premium through time is explained. In addition, risk premium in different time horizons of US crude oil futures market is predicted using BVAR and VAR models. The results showed that significantly 10% risk-premium existence in US crude oil futures market is approved for all time horizons (one month, two months, three months and four months), and on the other hand,by comparing RMSE of BVAR and VAR models, the results generally confirmed better predictions of risk premium by BVAR models in comparison with VAR models.
Type of Study: Applicable |
Subject:
انرژی، منابع و محیط زیست
Received: 2016/07/20 | Accepted: 2017/10/9 | Published: 2017/12/16
Received: 2016/07/20 | Accepted: 2017/10/9 | Published: 2017/12/16
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