NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Risk Premia in Crude Oil Futures Prices

James D. Hamilton, Jing Cynthia Wu

NBER Working Paper No. 19056
Issued in May 2013

---- Acknowledgements -----

Financial Support from the University of Chicago Booth School of Business is gratefully acknowledged. We thank Christiane Baumeister, Rob Engle, Lutz Kilian and anonymous reviewers for helpful comments on earlier drafts of this paper, as well as participants in the International Conference on Understanding International Commodity Price Fluctuations and seminar participants at the Bank of Canada, New York University, Econometric Society Annual Meeting at San Diego, Energy Policy Institute at Chicago workshop, Applied Time Series Econometrics Workshop at Federal Reserve Bank of St. Louis, Econometric Society North American Summer Meeting at Chicago, SNDE 21st Annual Symposium at Milan, Econometric Society Australasian Meeting at Melbourne, and Peking University Guanghua. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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