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来源类型Working Paper
规范类型报告
DOI10.3386/w22991
来源IDWorking Paper 22991
Commodity Price Forecasts, Futures Prices and Pricing Models
Gonzalo Cortazar; Cristobal Millard; Hector Ortega; Eduardo S. Schwartz
发表日期2017-01-09
出版年2017
语种英语
摘要Even though commodity pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper develops a new approach to calibrate these models using not only observations of oil futures prices, but also analysts’ forecasts of oil spot prices.
We conclude that to obtain reasonable expected spot curves, analysts’ forecasts should be used, either alone, or jointly with futures data. The use of both futures and forecasts, instead of using only forecasts, generates expected spot curves that do not differ considerably in the short/medium term, but long term estimations are significantly different. The inclusion of analysts’ forecasts, in addition to futures, instead of only futures prices, does not alter significantly the short/medium part of the futures curve, but does have a significant effect on long-term futures estimations.
主题Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w22991
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/580688
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GB/T 7714
Gonzalo Cortazar,Cristobal Millard,Hector Ortega,et al. Commodity Price Forecasts, Futures Prices and Pricing Models. 2017.
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