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Forecasting WTI crude oil futures returns : does the term structure help?

Bredin, Donal; O'Sullivan, Conall; Spencer, Simon - In: Energy economics 100 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012990233

Information in the term structure of WTI crude oil futures

Bredin, Donal; O'Sullivan, Conall; Spencer, Simon - 2020

Nelson-Siegel factors extracted from the term structure of WTI oil futures predict subsequent WTI holding period returns both in-sample and out-of-sample. This predictability is not diminished by augmenting with macroeconomic indicators or oil market specific predictors. The term structure based...

Persistent link: https://www.econbiz.de/10012418366

Agreement matters : OPEC announcement effects on WTI term structure

Spencer, Simon; Bredin, Donal - In: Energy economics 80 (2019), pp. 589-609

Persistent link: https://www.econbiz.de/10012173695

Alternative tests of the expectations hypothesis of the term structure of interest rates

Bredin, Donal - 2001

Persistent link: https://www.econbiz.de/10001589487

Risk premia and long rates in Ireland

Cuthbertson, Keith; Bredin, Donal - In: Journal of forecasting 20 (2001) 6, pp. 391-403

Persistent link: https://www.econbiz.de/10001611473

Why is spot carbon so cheap and future carbon so dear? : the term structure of carbon prices

Bredin, Donal; Parsons, John E. - In: The energy journal 37 (2016) 3, pp. 83-107

Persistent link: https://www.econbiz.de/10011528359

Risk premia and long rates in Ireland

Bredin, Donal; Cuthbertson, Keith - 2000

Persistent link: https://www.econbiz.de/10001476490

The expectations hypothesis of the term structure : the case of Ireland

Bredin, Don; Cuthbertson, Keith - 2000

Persistent link: https://www.econbiz.de/10001476486

Why is Spot Carbon so Cheap and Future Carbon so Dear? The Term Structure of Carbon Prices

Bredin, Don - 2014

This study examines carbon spot and futures price relationships and the dynamics of the carbon term structure in the European Union Emission Trading Scheme (ETS) between 2005-2012. Using spot and futures prices, we calculate an implied cost of carry. Using sequential futures prices, we calculate...

Persistent link: https://www.econbiz.de/10013049357

Why Is Spot Carbon so Cheap and Future Carbon So Dear? The Term Structure of Carbon Prices

Bredin, Don - 2014

Persistent link: https://www.econbiz.de/10013043335