D84 - Expectations; Speculations - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T11:59:43+00:00A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-18/
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.2016-04-18T09:53:37+00:00enA General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil2016-04-18Econometric and statistical methodsInternational topicsStaff Working Paper 2016-18https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-18.pdfA General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude OilChristiane BaumeisterLutz KilianApril 2016CC5C53DD8D84GG1G14QQ4Q43