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  • Search: subject:"Crack spread"
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Year of publication
Subject
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Crack spread 3 crack spread 3 ARCH model 2 ARCH-Modell 2 Acquisition Cost 2 Brent 2 Forecast accuracy 2 Futures 2 GARCH 2 Hedging 2 Real-time data 2 Refined products 2 WTI 2 crack spread futures 2 crude oil prices 2 ethanol 2 gasoline prices 2 multivariate GARCH model 2 oil price 2 oil price forecasting 2 oil-related exchange traded funds 2 Commodity derivative 1 Crack Spread 1 Derivat 1 Derivative 1 Forecast 1 Forecasting model 1 Index derivative 1 Indexderivat 1 Minimum-Variance Hedge 1 Minimum-variance hedge 1 Oil market 1 Oil price 1 Prognose 1 Prognoseverfahren 1 Resource /Energy Economics and Policy 1 Rohstoffderivat 1 Theorie 1 Theory 1 Volatility 1
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Online availability
All
Free 9
Type of publication
All
Book / Working Paper 7 Article 2
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 6 Undetermined 3
Author
All
Du, Xiaodong 3 Alexander, Carol 2 Baumeister, Christiane 2 Choi, Hankyeung 2 Hayes, Dermot 2 Kilian, Lutz 2 Leatham, David J. 2 Prokopczuk, Marcel 2 Sukcharoen, Kunlapath 2 Hayes, Dermot J. 1 Sumawon, Anannit 1 Sumawong, Anannit 1
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Institution
All
Center for Agricultural and Rural Development (CARD), Iowa State University 2 Agricultural and Applied Economics Association - AAEA 1 Center for Financial Studies 1 Henley Business School, University of Reading 1
Published in...
All
Center for Agricultural and Rural Development (CARD) Publications 2 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 1 CFS Working Paper 1 CFS Working Paper Series 1 Contemporary Economics 1 Contemporary economics 1 Discussion paper / ICMA Centre, Henley Business School, University of Reading 1 ICMA Centre Discussion Papers in Finance 1
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Source
All
RePEc 5 ECONIS (ZBW) 2 EconStor 2
Showing 1 - 9 of 9
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Oil price forecasting using crack spread futures and oil exchange traded funds
Choi, Hankyeung; Leatham, David J.; Sukcharoen, Kunlapath - In: Contemporary Economics 9 (2015) 1, pp. 29-44
Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices … are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets …. Specifically, the usefulness of the two crack spread derivatives products (namely, crack spread futures and the ETF crack spread …
Persistent link: https://www.econbiz.de/10011480613
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Oil price forecasting using crack spread futures and oil exchange traded funds
Choi, Hankyeung; Leatham, David J.; Sukcharoen, Kunlapath - In: Contemporary economics 9 (2015) 1, pp. 29-44
Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices … are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets …. Specifically, the usefulness of the two crack spread derivatives products (namely, crack spread futures and the ETF crack spread …
Persistent link: https://www.econbiz.de/10010520870
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Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz - 2013
Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is based on the premise that demand for crude oil derives...
Persistent link: https://www.econbiz.de/10010326672
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Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz - Center for Financial Studies - 2013
Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is based on the premise that demand for crude oil derives...
Persistent link: https://www.econbiz.de/10010958778
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The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread
Alexander, Carol; Prokopczuk, Marcel; Sumawon, Anannit - Henley Business School, University of Reading - 2012
produced by GARCH-based models are excessive. Therefore we encourage hedgers to use a na ¨ive hedging strategy on the crack … spread bundles now offered by the exchange as it is the cheapest and easiest to implement. Our conclusion contradicts the …
Persistent link: https://www.econbiz.de/10010838053
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The (de)merits of minimum-variance hedging : application to the crack spread
Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - 2012
Persistent link: https://www.econbiz.de/10009520538
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The Impact of Ethanol Production on US and Regional Gasoline Markets: An Update to May 2009
Hayes, Dermot; Du, Xiaodong - Center for Agricultural and Rural Development (CARD), … - 2011
This report updates the findings in Du and Hayes 2009 by extending the data to December 2010 and concludes that over the sample period from January 2000 to December 2010, the growth in ethanol production reduced wholesale gasoline prices by $0.25 per gallon on average. The Midwest region...
Persistent link: https://www.econbiz.de/10009004797
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Impact of Ethanol Production on U.S. and Regional Gasoline Prices and On the Profitability of U.S. Oil Refinery Industry
Du, Xiaodong; Hayes, Dermot J. - Agricultural and Applied Economics Association - AAEA - 2008
Using pooled regional time-series data and panel data estimation, we quantify the impact of monthly ethanol production on monthly retail regular gasoline prices. This analysis suggests that the growth in ethanol production has caused retail gasoline prices to be $0.29 to $0.40 per gallon lower...
Persistent link: https://www.econbiz.de/10005483406
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Impact of Ethanol Production on U.S. and Regional Gasoline Prices and on the Profitability of the U.S. Oil Refinery Industry, The
Hayes, Dermot; Du, Xiaodong - Center for Agricultural and Rural Development (CARD), … - 2008
Using pooled regional time-series data and panel data estimation, we quantify the impact of monthly ethanol production on monthly retail regular gasoline prices. This analysis suggests that the growth in ethanol production has caused retail gasoline prices to be $0.29 to $0.40 per gallon lower...
Persistent link: https://www.econbiz.de/10005034943
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