El-Khoury, Mario (2006) The efficiency of the oil futures market and the hedging effectiveness of symmetric vs. asymmetric GARCH models during periods of extreme conditional volatility. Masters thesis, Concordia University.
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Abstract
This paper investigates the efficiency of the NYMEX Division light sweet crude oil futures contract market during recent periods of extreme conditional volatility. Crude oil futures contract prices are found to be cointegrated with spot prices and unbiased predictors of future spot prices, including over the period prior the onset of the Iraqi war and until the formation of the new Iraqi government on April 2005. Both futures and spot prices exhibit asymmetric volatility characteristics. Hedging performance is improved when asymmetries are accounted for.
| Divisions: | Concordia University > John Molson School of Business |
|---|---|
| Item Type: | Thesis (Masters) |
| Authors: | El-Khoury, Mario |
| Pagination: | vi, 43 leaves : ill. ; 29 cm. |
| Institution: | Concordia University |
| Degree Name: | M. Sc. Admin. |
| Program: | John Molson School of Business |
| Date: | 2006 |
| Thesis Supervisor(s): | Switzer, Lorne |
| Identification Number: | LE 3 C66F56M 2006 E45 |
| ID Code: | 8824 |
| Deposited By: | Concordia University Library |
| Deposited On: | 18 Aug 2011 18:36 |
| Last Modified: | 13 Jul 2020 20:05 |
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