Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps

Benoît Sévi

Economic Modelling, 2015, vol. 44, issue C, 243-251

Abstract: In this paper, we first provide an empirical evidence of the existence of intraday jumps in the crude oil price series. We then show that these jumps, in conjunction with realized volatility measures, are important in modeling the convenience yield over the 2001–2010 period. Our empirical results indicate that lagged jump mean only explains around 16% of the weekly convenience yield. Our best specification, including variation in inventories, 8-week realized variance and the 250-day jump mean is able to explain around 61% of the weekly convenience yield. Importantly, our results are not driven by the simultaneous determination of the various variables at work as we only use lagged variables in all regressions.

Keywords: Convenience yield; Realized volatility; Jump; Inventory (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999314003812
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:44:y:2015:i:c:p:243-251

DOI: 10.1016/j.econmod.2014.10.026

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().