Price spread and convenience yield behaviour in the international oil market

This paper examines the price and volatility behaviour of two similar commodities (Brent Crude Oil and West Texas Intermediate) and attempts to identify the variables that affect their relative price differential. Price spreads and convenience yields are estimated in an effort to test a number of hy...

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Veröffentlicht in:	Applied financial economics 2001-02, Vol.11 (1), p.23-36
Hauptverfasser:	Milonas, Nikolaos T., Henker, Thomas
Format:	Artikel
Sprache:	eng
Schlagworte:	Crude oil Crude oil prices Economic models Futures International market International markets Market segmentation Oil market Price variance Pricing Relative prices Seasonality Securities markets Studies Volatility
Online-Zugang:	Volltext
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