Analyzing Crude Oil Spot Price Dynamics versus Long Term Future Prices: A Wavelet Analysis Approach

Analyzing Crude Oil Spot Price Dynamics versus Long Term Future Prices: A Wavelet Analysis Approach

The West Texas Intermediate (WTI) spot price shows high volatility and in 2014 and 2015 when quoted prices declined sharply, long-term prices in future markets were less volatile. These prices are different and diverge depending on how they process fundamental and transitory factors. US tight oil pr...

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Bibliographic Details
Main Authors: Josué M. Polanco-Martínez, Luis M. Abadie
Format: Article
Language:English
Published: MDPI AG 2016-12-01
Series:Energies
Subjects:
oil spot prices
futures oil markets
stochastic model
tight oil
time series analysis
wavelet correlation
Maximal Overlap Discrete Wavelet Transform (MODWT)
nonlinear causality test
Online Access:http://www.mdpi.com/1996-1073/9/12/1089

Internet

http://www.mdpi.com/1996-1073/9/12/1089

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