http://www.erasmusenergy.com en-us N/A dejong@kyos.com Wed, 19 Nov 2008 23:04:26 CET 20 http://www.erasmusenergy.com/articles/58/1/The-Predictive-Characteristics-of-Energy-Futures-Recent-Evidence-for-Crude-Oil-Natural-Gas-Gasoline-and-Heating-Oil/Page1.html futures, energy, forecasting, efficient markets hypothesis
Published in:
Publication year: 2001
Co-author 1: Michael LeBlanc
Co-author 2: Olivier Coibion

This paper examines the relationship between futures and spot prices for energy commodities. In particular, we examine whether futures prices are (1) an unbiased predictor of subsequent spot prices and (2) whether futures prices are a good predictor of subsequent spot prices, in the crude oil, gasoline, heating oil markets and natural gas markets. We find that while futures prices are unbiased predictors of future spot prices in the first three markets, they are also fairly inaccurate predictors. Natural gas futures prices are both a biased predictor of subsequent spot prices at two of three horizons examined, and a poor predictor.]]> no@spam.com (Menzie Chinn) Mon, 01 Oct 2007 11:22:17 CEST http://www.erasmusenergy.com/articles/58/1/The-Predictive-Characteristics-of-Energy-Futures-Recent-Evidence-for-Crude-Oil-Natural-Gas-Gasoline-and-Heating-Oil/Page1.html