Predicting the heating oil spread, speculation in the oil market
Abstract Ky words: crack spread, mde oil, heating oil, mz,tLtivariate GARCH This thesis was performed using daily one-month future prices from 1996 until 2004; on the two assets that make up the heating oil spread i.e. crude oil and heating oil, traded on the New York mercantile exchange (NYMEX). The goal of the study was to, by designing future strategies and predicting the variance and volatilit
