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Efficiency in the crude oil futures market
8 references·15 citing·30 second hop
Efficiency in the crude oil futures market (1998)Efficiency in the crude oil futures marketUnbiasedness and time varying risk premia in the crude oil futures market (1994)Unbiasedness and time varying…Two‐step testing procedure for price discovery role of futures prices (1992)Two‐step testing procedure fo…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Asymptotic Normality, When Regressors Have a Unit Root (1988)Asymptotic Normality, When Re…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Forecasting Day-Ahead Brent Crude Oil Prices Using Hybrid Combinations of Time Series Models (2023)Forecasting Day-Ahead Brent C…Support Vector Machine Algorithms: An Application to Ship Price Forecasting (2020)Support Vector Machine Algori…The pricing efficiency of crude oil futures in the Shanghai International Exchange (2019)The pricing efficiency of cru…The economic and financial properties of crude oil: A review (2019)The economic and financial pr…Oil price volatility: A real option valuation approach in an African oil field (2016)Oil price volatility: A real …Optimizing the monthly crude oil price forecasting accuracy via bagging ensemble models (2015)Optimizing the monthly crude …Forecasting Crude Oil Price Using Artificial Neural Networks: A Literature Survey (2015)Forecasting Crude Oil Price U…Forecasting Crude Oil Price with an Autoregressive Integrated Moving Average (ARIMA) Model (2013)Forecasting Crude Oil Price w…Crude Oil Price Forecasting Techniques: A Comprehensive Review of Literature (2013)Crude Oil Price Forecasting T…Investigating the price discovery and risk transfer functions in the crude oil and gasoline futures markets: Some empirical evidence (2012)Investigating the price disco…A multiple adaptive wavelet recurrent neural network model to analyze crude oil prices (2012)A multiple adaptive wavelet r…Market efficiency among futures with different maturities: Evidence from the crude oil futures market (2010)Market efficiency among futur…Econometric Models for Oil Price Forecasting: A Critical Survey (2009)Econometric Models for Oil Pr…Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets (2006)Extreme volatility, speculati…On the predictive accuracy of crude oil futures prices (2003)On the predictive accuracy of…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Generalized autoregressive conditional heteroskedasticity (1986)Oil volatility and the option value of waiting: An analysis of the G-7 (2010)Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression (2011)Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test (2014)Comparing Information in Forecasts from Econometric Models (1990)Oil prices: The role of refinery utilization, futures markets and non-linearities (2008)A decomposition–integration model with dynamic fuzzy reconstruction for crude oil price prediction and the implications for sustainable development (2019)Data science and reinforcement learning for price forecasting and raw material procurement in petrochemical industry (2021)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)IS THE BUDGET DEFICIT “TOO LARGE?” (1991)Productivity Across Industries and Countries: Time Series Theory and Evidence (1996)Sources of U.S. Economic Growth in a World of Ideas (2002)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Asset storability and price discovery in commodity futures markets: A new look (2001)Fundamentals, Trader Activity and Derivative Pricing (2008)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline (2005)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)Unit root tests in panel data: asymptotic and finite-sample properties (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1988Asymptotic Normality, When Regressors Have a Unit Root339 cited
  • 1992Two‐step testing procedure for price discovery role of futures prices132 cited
  • 1994Unbiasedness and time varying risk premia in the crude oil futures market125 cited

Cited by

  • 2006Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets95 cited
  • 2003On the predictive accuracy of crude oil futures prices91 cited
  • 2019The pricing efficiency of crude oil futures in the Shanghai International Exchange73 cited
  • 2012Investigating the price discovery and risk transfer functions in the crude oil and gasoline futures markets: Some empirical evidence73 cited
  • 2012A multiple adaptive wavelet recurrent neural network model to analyze crude oil prices66 cited
  • 2013Crude Oil Price Forecasting Techniques: A Comprehensive Review of Literature

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66 cited
  • 2019The economic and financial properties of crude oil: A review65 cited
  • 2023Forecasting Day-Ahead Brent Crude Oil Prices Using Hybrid Combinations of Time Series Models62 cited
  • 2020Support Vector Machine Algorithms: An Application to Ship Price Forecasting61 cited
  • 2010Market efficiency among futures with different maturities: Evidence from the crude oil futures market37 cited
  • 2016Oil price volatility: A real option valuation approach in an African oil field35 cited
  • 2013Forecasting Crude Oil Price with an Autoregressive Integrated Moving Average (ARIMA) Model32 cited
  • 2015Optimizing the monthly crude oil price forecasting accuracy via bagging ensemble models30 cited
  • 2015Forecasting Crude Oil Price Using Artificial Neural Networks: A Literature Survey29 cited
  • 2009Econometric Models for Oil Price Forecasting: A Critical Survey29 cited