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  • Search: subject:"Crack spread"
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Year of publication
Subject
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Crack spread 17 Theorie 8 Theory 8 Derivat 7 Derivative 7 Hedging 7 Futures 6 ARCH model 4 ARCH-Modell 4 Commodity derivative 4 Estimation 4 Forecasting model 4 GARCH 4 Oil price 4 Prognoseverfahren 4 Rohstoffderivat 4 Schätzung 4 Volatility 4 WTI 4 crack spread 4 Ölpreis 4 Acquisition Cost 3 Brent 3 Commodity price 3 Copula 3 Crack Spread 3 Downside risk 3 Forecast 3 Forecast accuracy 3 Minimum-variance hedge 3 Multivariate Verteilung 3 Multivariate distribution 3 Oil market 3 Option pricing theory 3 Option trading 3 Optionsgeschäft 3 Optionspreistheorie 3 Prognose 3 Real-time data 3 Refined products 3
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Online availability
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Undetermined 15 Free 9
Type of publication
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Article 18 Book / Working Paper 12
Type of publication (narrower categories)
All
Article in journal 12 Aufsatz in Zeitschrift 12 Working Paper 4 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article 1
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Language
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English 19 Undetermined 11
Author
All
Prokopczuk, Marcel 6 Baumeister, Christiane 5 Du, Xiaodong 5 Kilian, Lutz 5 Alexander, Carol 4 Wang, Yudong 4 Wu, Chongfeng 4 Hayes, Dermot J. 3 Power, Gabriel J. 3 Sumawong, Anannit 3 Vedenov, Dmitrij V. 3 Choi, Hankyeung 2 Farkas, Walter 2 Gourier, Elise 2 Hayes, Dermot 2 Huitema, Robert 2 Leatham, David J. 2 Mahringer, Steffen 2 Necula, Ciprian 2 Sukcharoen, Kunlapath 2 Zhou, Xiaoqing 2 Amershi, Amin 1 Ewing, Bradley T. 1 Herath, Hemantha 1 Kumar, Pranesh 1 Liu, Pan 1 Población, Javier 1 Serna, Gregorio 1 Sumawon, Anannit 1 Thompson, Mark A. 1
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Institution
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Center for Agricultural and Rural Development (CARD), Iowa State University 2 Henley Business School, University of Reading 2 Agricultural and Applied Economics Association - AAEA 1 C.E.P.R. Discussion Papers 1 Center for Financial Studies 1 Department of Economics, Iowa State University 1
Published in...
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Energy economics 5 Center for Agricultural and Rural Development (CARD) Publications 2 Energy Economics 2 ICMA Centre Discussion Papers in Finance 2 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 1 Atlantic economic journal : AEJ 1 CEPR Discussion Papers 1 CFS Working Paper 1 CFS Working Paper Series 1 CFS working paper series 1 Contemporary Economics 1 Contemporary economics 1 Discussion paper / ICMA Centre, Henley Business School, University of Reading 1 Economic Modelling 1 Economic modelling 1 Energy Policy 1 International review of economics & finance : IREF 1 International review of financial analysis 1 Journal of Economics and Finance 1 Journal of banking & finance 1 Macroeconomic dynamics 1 Research paper series / Swiss Finance Institute 1 Staff General Research Papers / Department of Economics, Iowa State University 1
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Source
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ECONIS (ZBW) 15 RePEc 13 EconStor 2
Showing 1 - 10 of 30
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Who's afraid of a Texas hedge?
Power, Gabriel J.; Vedenov, Dmitrij V. - In: Energy economics 127 (2023) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10014489962
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We don't need no fancy hedges! Or do we?
Vedenov, Dmitrij V.; Power, Gabriel J. - In: International review of financial analysis 81 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013375398
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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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Are product spreads useful for forecasting oil prices? : an empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - In: Macroeconomic dynamics 22 (2018) 3, pp. 562-580
Persistent link: https://www.econbiz.de/10011916657
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Modeling the response of gasoline-crude oil price crack spread macroeconomic shocks
Ewing, Bradley T.; Thompson, Mark A. - In: Atlantic economic journal : AEJ 46 (2018) 2, pp. 203-213
Persistent link: https://www.econbiz.de/10012062633
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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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