Recent evidence suggests that transaction costs may prevent arbitrage in the market for crude oil. If these costs are significant, they could have serious implications for the value of the basis as a predictor of movement in the spot price.Given the importance of the basis within the existing...

It is well known that parameter estimates obtained from ordinary least squares can be distorted by outliers. Given the dramatic fluctuations observed in the price of crude oil, it is surprising that the robustness of parameter estimates has not been scrutinized more closely. This article...