Long run analysis of crude oil portfolios

Roy Cerqueti, Viviana Fanelli and Giulia Rotundo

Energy Economics, 2019, vol. 79, issue C, 183-205

Abstract: This paper deals with the analysis of the long-run behavior of a set of mispricing portfolios generated by three crude oils, where one of the oils is the reference commodity and it is compared to a combination of the other two ones. To this aim, the long-term parameter related to the mispricing portfolio are estimated on empirical data. We pay particular attention to the cases of mispricing portfolios either of stationary type or following a Brownian motion: the former situation is associated to replication portfolios of a reference commodity; the latter one allows to implement forecasts. The theoretical setting is validated through empirical data on WTI, Brent and Dubai oils.

Keywords: Commodities portfolio; Long-term memory; Forecast; Crude oils (search for similar items in EconPapers)
JEL-codes: C10 G11 Q47 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:79:y:2019:i:c:p:183-205

DOI: 10.1016/j.eneco.2017.12.005

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