05
10:00 - 12:00
IWH Research Seminar
AUG
2016
10:00 - 12:00
A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
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.
Who
(University of Michigan)
Where
Personal details
Lutz Kilian is Professor of Economics at University of Michigan. His research interests are Time Series Econometrics, Empirical Macroeconomics and Energy Economics.
Whom to contact
Economist
If you have any further questions please contact me.
+49 345 7753-865 Request per E-Mail
