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Econometric Models for Oil Price Forecasting: A Critical Survey
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Econometric Models for Oil Price Forecasting: A Critical Survey (2009)Econometric Models for Oil Price Forecast…Forecasting oil price movements with crack spread futures (2008)Forecasting oil price movemen…Modelling the world oil market: Assessment of a quarterly econometric model (2005)Modelling the world oil marke…Forecasting short-run crude oil price using high- and low-inventory variables (2005)Forecasting short-run crude o…A monthly crude oil spot price forecasting model using relative inventories (2005)A monthly crude oil spot pric…Does OPEC Matter? An Econometric Analysis of Oil Prices (2004)Does OPEC Matter? An Economet…Implementing a stochastic model for oil futures prices (2003)Implementing a stochastic mod…A semiparametric approach to short-term oil price forecasting (2001)A semiparametric approach to …Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Short-Term Variations and Lon…The Long-Run Evolution of Energy Prices (1999)The Long-Run Evolution of Ene…Efficiency in the crude oil futures market (1998)Efficiency in the crude oil f…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Unbiasedness and time varying risk premia in the crude oil futures market (1994)Unbiasedness and time varying…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Estimating Long-Run Economic Equilibria (1991)Estimating Long-Run Economic …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Oil and energy price volatility (2006)A new approach for crude oil price analysis based on Empirical Mode Decomposition (2007)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Fully modified OLS for heterogeneous cointegrated panels (2004)On the estimation and inference of a cointegrated regression in panel data (2004)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A COMPARISON OF VAR AND NEURAL NETWORKS WITH GENETIC ALGORITHM IN FORECASTING PRICE OF OIL (2004)Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities (2012)Modelling oil price volatility with structural breaks (2012)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)The role of market fundamentals and speculation in recent price changes for crude oil (2010)What has driven oil prices since 2000? A structural change perspective (2011)Investor sentiment and the price of oil (2017)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Global economic activity and crude oil prices: A cointegration analysis (2009)Oil price volatility and oil-related events: An Internet concern study perspective (2014)An equilibrium characterization of the term structure (1977)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)An Intertemporal General Equilibrium Model of Asset Prices (1985)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Equilibrium Forward Curves for Commodities (2000)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Bounds testing approaches to the analysis of level relationships (2001)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices1,098 cited
  • 1991Estimating Long-Run Economic Equilibria854 cited
  • 1999The Long-Run Evolution of Energy Prices657 cited
  • 2001A semiparametric approach to short-term oil price forecasting253 cited
  • 2004Does OPEC Matter? An Econometric Analysis of Oil Prices245 cited
  • 2005Modelling the world oil market: Assessment of a quarterly econometric model238 cited
  • 2003Implementing a stochastic model for oil futures prices213 cited
  • 2005A monthly crude oil spot price forecasting model using relative inventories150 cited
  • 1994Unbiasedness and time varying risk premia in the crude oil futures market125 cited
  • 2005Forecasting short-run crude oil price using high- and low-inventory variables124 cited
  • 2008Forecasting oil price movements with crack spread futures

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122 cited
  • 1998Efficiency in the crude oil futures market117 cited
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