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Evaluating the Forecasting Performance of Commodity Futures Prices
7 references·5 citing·52 second hop
Evaluating the Forecasting Performance of Commodity Futures Prices (2010)Evaluating the Forecasting Performance of…What do we learn from the price of crude oil futures? (2010)What do we learn from the pri…Forecasting the Price of Oil (2010)Forecasting the Price of OilThe Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline (2005)The Predictive Content of Ene…The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk (2004)The Information Content of Fo…The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)The Dynamics of Commodity Spo…Unbiasedness and time varying risk premia in the crude oil futures market (1994)Unbiasedness and time varying…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test (2018)The role of economic and fina…Forecasting the Real Price of Oil - Time-Variation and Forecast Combination (2017)Forecasting the Real Price of…ARE PRODUCT SPREADS USEFUL FOR FORECASTING OIL PRICES? AN EMPIRICAL EVALUATION OF THE VERLEGER HYPOTHESIS (2017)ARE PRODUCT SPREADS USEFUL FO…Fundamentals, Derivatives Market Information and Oil Price Volatility (2014)Fundamentals, Derivatives Mar…Do Commodity Futures Help Forecast Spot Prices? (2011)Do Commodity Futures Help For…Empirical exchange rate models of the seventies (1983)Forward and spot exchange rates (1984)Determinants of Agricultural and Mineral Commodity Prices (2010)Effects of speculation and interest rates in a “carry trade” model of commodity prices (2013)The Predictive Content of Commodity Futures (2013)“Options, Futures, and Other Derivatives” (2016)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures (2004)Forecasting volatility of crude oil markets (2008)The Econometrics of Financial Markets (2012)The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements (2021)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Efficiency in the crude oil futures market (1998)Oil price dynamics: A behavioral finance approach with heterogeneous agents (2010)Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach (2016)Expectations and Exchange Rate Dynamics (1976)Comparing Predictive Accuracy (1994)Investor Flows and the 2008 Boom/Bust in Oil Prices (2013)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us (2016)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Storage and Commodity Markets. (1992)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Long memory and structural breaks in commodity futures markets (2010)Artificial intelligence methods for oil price forecasting: a review and evaluation (2015)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Brent crude oil prices volatility during major crises (2018)Volatility term structures in commodity markets (2019)Impact of the global financial crisis on the crude oil market (2020)A Treatise on Money (1971)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Financialization of Commodity Markets (2013)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Impact of Uncertainty Shocks (2009)Measuring Economic Policy Uncertainty* (2016)Forecasting international financial stress: The role of climate risks (2024)Approximately normal tests for equal predictive accuracy in nested models (2006)Tests of Conditional Predictive Ability (2006)Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump (2016)Food versus fuel: An updated and expanded evidence (2017)Forecasts of the real price of oil revisited: Do they beat the random walk? (2023)The Economics of Exhaustible Resources (1931)Oil and the Macroeconomy since World War II (1983)Influential factors in crude oil price forecasting (2017)Commodity-price comovement and global economic activity (2019)The relationship between oil prices and exchange rates: Revisiting theory and evidence (2020)
this work references cited by second hop

References

  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 2010What do we learn from the price of crude oil futures?744 cited
  • 2001The Dynamics of Commodity Spot and Futures Markets: A Primer591 cited
  • 2010Forecasting the Price of Oil227 cited
  • 1994Unbiasedness and time varying risk premia in the crude oil futures market125 cited
  • 2005The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline104 cited
  • 2004The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk76 cited

Cited by

  • 2014Fundamentals, Derivatives Market Information and Oil Price Volatility85 cited
  • 2018The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test75 cited
  • 2017ARE PRODUCT SPREADS USEFUL FOR FORECASTING OIL PRICES? AN EMPIRICAL EVALUATION OF THE VERLEGER HYPOTHESIS74 cited
  • 2011Do Commodity Futures Help Forecast Spot Prices?40 cited
  • 2017Forecasting the Real Price of Oil - Time-Variation and Forecast Combination36 cited

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