Volume 8, Issue 29 (12-2017)                   jemr 2017, 8(29): 7-35 | Back to browse issues page

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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
Abstract:   (982 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.

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Type of Study: Applicable | Subject: انرژی، منابع و محیط زیست
Received: 2016/07/20 | Accepted: 2017/10/9 | Published: 2017/12/16

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