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Forecasting the real prices of crude oil using robust regression models with regularization constraints
16 references·2 citing·40 second hop
Forecasting the real prices of crude oil using robust regression models with regularization constraints (2020)Forecasting the real prices of crude oil …The forecast combination puzzle: A simple theoretical explanation (2016)The forecast combination puzz…Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us (2016)Forty Years of Oil Price Fluc…Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach (2015)Forecasting the Real Price of…Oil Price Shocks: Causes and Consequences (2014)Oil Price Shocks: Causes and …THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)THE ROLE OF INVENTORIES AND S…Forecasting the Price of Oil (2013)Forecasting the Price of OilReal-Time Forecasts of the Real Price of Oil (2012)Real-Time Forecasts of the Re…Crude oil price forecasting: Experimental evidence from wavelet decomposition and neural network modeling (2011)Crude oil price forecasting: …What do we learn from the price of crude oil futures? (2010)What do we learn from the pri…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm (2008)Forecasting crude oil price w…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…A New Method for Crude Oil Price Forecasting Based on Support Vector Machines (2006)A New Method for Crude Oil Pr…Combination forecasts of output growth in a seven‐country data set (2004)Combination forecasts of outp…A new hybrid deep learning model for monthly oil prices forecasting (2023)A new hybrid deep learning mo…Forecasting stock return volatility using a robust regression model (2021)Forecasting stock return vola…Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Coherent Measures of Risk (1999)The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013)A deep learning ensemble approach for crude oil price forecasting (2017)Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Oil prices, US stock return, and the dependence between their quantiles (2015)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Time series prediction: Forecasting the future and understanding the past (1994)Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Machine learning in energy economics and finance: A review (2019)A new forecasting model with wrapper-based feature selection approach using multi-objective optimization technique for chaotic crude oil time series (2020)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)The Combination of Forecasts (1969)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Forecasting Stock Returns (2013)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)Expectations and Exchange Rate Dynamics (1976)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)“Options, Futures, and Other Derivatives” (2016)Common risk factors in the returns on stocks and bonds (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Manager sentiment and stock returns (2018)Oil and the Macroeconomy since World War II (1983)The impact of oil-market shocks on stock returns in major oil-exporting countries (2018)The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets (2020)Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China (2020)Policy Uncertainty and Corporate Investment (2015)
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References

  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2013THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL1,439 cited
  • 2004Combination forecasts of output growth in a seven‐country data set1,138 cited
  • 2010What do we learn from the price of crude oil futures?744 cited
  • 2008Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm705 cited
  • 2016Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us556 cited
  • 2013Forecasting the Price of Oil385 cited
  • 2012Real-Time Forecasts of the Real Price of Oil356 cited
  • 2014Oil Price Shocks: Causes and Consequences353 cited
  • 2015Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach323 cited
  • 2011Crude oil price forecasting: Experimental evidence from wavelet decomposition and neural network modeling282 cited

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2006
A New Method for Crude Oil Price Forecasting Based on Support Vector Machines
258 cited
  • 2016The forecast combination puzzle: A simple theoretical explanation246 cited
  • Cited by

    • 2023A new hybrid deep learning model for monthly oil prices forecasting34 cited
    • 2021Forecasting stock return volatility using a robust regression model23 cited