Forecasting Oil Price Movements

Coppola Andrea
CEIS Working Papers
Relying on the cost of carry model, we investigate the long-run relationship between spot and futures prices and use the information implied in these cointegrating relationships to forecast out of sample oil spot and futures price movements. In order to f
Number: 253
Date: Friday, June 1, 2007
Revision Date: Friday, June 1, 2007