Search Results - subject:"Crack spread"

Crack spread option pricing with copulas

Herath, Hemantha; Kumar, Pranesh; Amershi, Amin - In: Journal of Economics and Finance 37 (2013) 1, pp. 100-121

A copula-based approach for pricing crack spread options is described. Crack spread options are currently priced … seasonality, are ignored in standard models. We develop two copula-based crack spread option models using a simulation approach … (<CitationRef CitationID="CR26">1995</CitationRef>)) mis-price a crack spread option and that the Clayton model is more appropriate …

Persistent link: https://www.econbiz.de/10010999020

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/10010200878

The (de)merits of minimum-variance hedging : application to the crack spread

Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - In: Energy economics 36 (2013), pp. 698-707

Persistent link: https://www.econbiz.de/10009724605

Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?

Wang, Yudong; Wu, Chongfeng - In: Energy Economics 34 (2012) 6, pp. 2167-2181

univariate models. Second, we forecast crack spread volatility and contrast the performance of multivariate models for two …

Persistent link: https://www.econbiz.de/10010587994

What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications

Wang, Yudong; Wu, Chongfeng - In: Economic Modelling 29 (2012) 2, pp. 349-360

detect long-range auto-correlations in crack spread volatilities and find a strong persistent behavior and multifractality …

Persistent link: https://www.econbiz.de/10010573291

Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?

Wang, Yudong; Wu, Chongfeng - In: Energy economics 34 (2012) 6, pp. 2167-2181

Persistent link: https://www.econbiz.de/10009688795

What can we learn from the history of gasoline crack spreads? : long memory, structural breaks and modeling implications

Wang, Yudong; Wu, Chongfeng - In: Economic modelling 29 (2012) 2, pp. 349-360

Persistent link: https://www.econbiz.de/10009536826

The Impact of Ethanol Production on U.S. And Regional Gasoline Markets

Du, Xiaodong; Hayes, Dermot J. - Department of Economics, Iowa State University - 2010

This study quantifies the impact of increasing ethanol production on wholesale/retail gasoline prices employing pooled regional time-series data from January 1995 to March 2008. We find that the growth in ethanol production kept wholesale gasoline prices $0.14/gallon lower than would otherwise...

Persistent link: https://www.econbiz.de/10008503690

An Empirical Model Comparison for Valuing Crack Spread Options

Mahringer, Steffen; Prokopczuk, Marcel - Henley Business School, University of Reading - 2010

In this paper, we investigate the pricing of crack spread options. The special focus is laid on the question, of … whether univariate modeling of the crack spread or explicit modeling of the two underlyings is preferable. Therefore, we … modeling the crack spread directly. Conducting an extensive empirical analysis of crude oil/heating oil and crude oil …

Persistent link: https://www.econbiz.de/10008542350

The impact of ethanol production on US and regional gasoline markets

Du, Xiaodong; Hayes, Dermot J. - In: Energy Policy 37 (2009) 8, pp. 3227-3234

Persistent link: https://www.econbiz.de/10005022755