Simon Spencer
University College Dublin
7 Papers
9 Citations
Simon Spencer is an academic researcher from University College Dublin. The author has contributed to research in topics: Futures contract & West Texas Intermediate. The author has an hindex of 2, co-authored 6 publications.
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Papers
Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets
TL;DR: In this article, the authors use a hedging study to shed light on important properties of ethanol (a developing market) and corn (a mature market), with implications for all storable commodities.
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Forecasting WTI crude oil futures returns: Does the term structure help?
TL;DR: In this paper, the decay factor in the Nelson-Siegel model was used to predict subsequent WTI holding period returns in-sample, which is not diminished by augmenting with macroeconomic indicators or oil market specific predictors.
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Agreement Matters: OPEC Announcement Effects on WTI Term Structure
Simon Spencer,Don Bredin +1 more
TL;DR: This paper investigated the relationship between different types of OPEC announcements and term structure variables (level, slope and curvature) for WTI crude oil futures and found that agreements to increase (decrease) production are positively (negatively) associated with changes in oil price levels in futures markets.
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Agreement matters: OPEC announcement effects on WTI term structure
Simon Spencer,Don Bredin +1 more
TL;DR: This article investigated the relationship between different types of OPEC announcements and term structure variables (level, slope and curvature) for WTI crude oil futures and found that agreements to increase (decrease) production are positively (negatively) associated with changes in oil price levels in futures markets.
4
Information in the Term Structure of WTI Crude Oil Futures
TL;DR: This article found that the most significant predictor of holding period returns is a time-varying decay factor in the term structure model, which is not diminished by augmenting with macroeconomic indicators or oil market specific predictors.
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