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Dynamic relationships between spot and futures prices. The case of energy and gold commodities
16 references·1 citing·43 second hop
Dynamic relationships between spot and futures prices. The case of energy and gold commodities (2015)Dynamic relationships between spot and fu…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Cointegration and error correction (2013)Cointegration and error corre…What do we learn from the price of crude oil futures? (2010)What do we learn from the pri…The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)The Dynamics of Commodity Spo…Some tests for parameter constancy in cointegrated VAR‐models (1999)Some tests for parameter cons…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Making wald tests work for cointegrated VAR systems (1996)Making wald tests work for co…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyTesting for parameter instability in linear models (1992)Testing for parameter instabi…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Forecasting Economic Time Series (1986)Forecasting Economic Time Ser…Applied Economic Forecasting (1967)Applied Economic ForecastingMild explosivity in recent crude oil prices (2019)Mild explosivity in recent cr…Book Review: Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)25 years of time series forecasting (2006)Probabilistic Forecasts, Calibration and Sharpness (2007)Empirical Asset Pricing via Machine Learning (2020)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Energy consumption, carbon emissions, and economic growth in China (2009)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Inference in Linear Time Series Models with some Unit Roots (1990)Testing for short- and long-run causality: A frequency-domain approach (2005)Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application (2006)Survey of the international evidence on the causal relationship between energy consumption and growth (2010)A Treatise on Money (1971)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward and spot exchange rates (1984)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Facts and Fantasies about Commodity Futures (2006)Time Series Momentum (2011)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Forecasting Economic Time Series (2000)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Combining forecasts: A review and annotated bibliography (1989)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Introductory Econometrics for Finance (2008)Market Liquidity and Funding Liquidity (2008)Extreme Correlation of International Equity Markets (2001)Another look at measures of forecast accuracy (2006)
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  • 2013

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Cointegration and error correction
513 cited

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  • 2019Mild explosivity in recent crude oil prices49 cited