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The effectiveness of arbitrage and speculation in the crude oil futures market · Study

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ArticleThe effectiveness of arbitrage and speculation in the crude oil futures market

Imad A. Moosa1995

Article1995

The effectiveness of arbitrage and speculation in the crude oil futures market

Imad A. Moosa · Nabeel E. Al‐Loughani

48 citations·0/0 files stored·Journal of Futures Markets

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Statistical analysis of cointegration vectors 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 2010Critical Values for Cointegration Tests 1990Asymptotic Properties of Residual Based Tests for Cointegration 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

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2005The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline 2011Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression 2014Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test

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1994Chapter 47 Vector autoregressions and cointegrationchapter · 9 shared references 1994Unbiasedness and time varying risk premia in the crude oil futures marketarticle · 9 shared references 1993Vector autoregressions and cointegrationpreprint · 8 shared references 1996Cointegration tests in the presence of structural breaksarticle · 8 shared references 2006Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures marketsarticle · 8 shared references 1993THE DETERMINANTS OF BANKRUPTCIES IN THE U.K.: 1971–1988article · 8 shared references

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Year1995

Typearticle

Published1995-04-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations48

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990150205

openalex_workW2062610205

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