Journal
ECONOMICS LETTERS
Volume 144, Issue -, Pages 119-122Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2016.05.007
Keywords
Oil futures; Speculation; Fundamentals; Statistical factors
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Recent studies provide contradictory evidence about the impact of speculation on commodity prices. Rather than directly evaluating this relationship we instead use a novel approach to assess if speculation can inform our choice of factor inclusion in modelling oil futures. (C) 2016 Elsevier B.V. All rights reserved.
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