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- W4280624163 abstract "This paper investigates how oil’s future price implies the bunker price through cointegration analysis first. A cointegration test confirms the long-run equilibrium condition of bunker and oil future prices. Based on the cointegration relationship, we construct VECM model to forecast bunker prices. In addition, we also consider ARMA, ARMAX, and VAR models for certifying whether considering the long-run equilibrium between bunker and oil future prices is helpful in prediction. One-step-ahead and four-step-ahead forecasting are considered and two out-of-sample datasets are used. The empirical results show that the increase in the value of the error correction term in the VECM model has the effect of pulling down the bunker return. VECM performs better than other models in prediction. The Crude Oil Future Contract 1 has better forecasting performance for bunker prices with VECM in the 1-step-ahead forecast, while Crude Oil Future Contract 3 performs slightly better than Crude Oil Future Contract 1 in the 4-step-ahead forecast." @default.
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- W4280624163 date "2022-05-16" @default.
- W4280624163 modified "2023-10-14" @default.
- W4280624163 title "How Does Oil Future Price Imply Bunker Price—Cointegration and Prediction Analysis" @default.
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- W4280624163 doi "https://doi.org/10.3390/en15103630" @default.
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