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On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach
16 references·1 citing·42 second hopsampled
On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach (2020)On the relationship between oil and gas m…A novel hybrid method for crude oil price forecasting (2015)A novel hybrid method for cru…Forecasting the Price of Oil (2013)Forecasting the Price of OilAsymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices (2013)Asymmetric and nonlinear pass…Real-Time Forecasts of the Real Price of Oil (2012)Real-Time Forecasts of the Re…Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach (2012)Conditional dependence struct…International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models (2010)International evidence on cru…Forecasting the Price of Oil (2010)Forecasting the Price of OilWhat Drives Natural Gas Prices? (2008)What Drives Natural Gas Price…Testing for Market Integration Crude Oil, Coal, and Natural Gas (2006)Testing for Market Integratio…A new statistic and practical guidelines for nonparametric Granger causality testing (2006)A new statistic and practical…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime (2002)Are Oil Shocks Inflationary?:…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyForecasting Transformed Series (1976)Forecasting Transformed SeriesDo Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling (2022)Do Gas Price and Uncertainty …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)Forecasting: theory and practice (2022)Forecasting Economic Time Series (2000)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)This is what happened to the oil price-macroeconomy relationship (1996)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment (2004)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)The Economic Effects of Energy Price Shocks (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Forecasting crude oil market volatility: Further evidence using GARCH-class models (2010)Modelling oil price and exchange rate co-movements (2011)Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results (1989)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Corn Cash Price Forecasting (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)A test for independence based on the correlation dimension (1996)Causality detection based on information-theoretic approaches in time series analysis (2007)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Forecasting and testing in co-integrated systems (1987)THE POWER OF COINTEGRATION TESTS (1992)What drives natural gas prices? — A structural VAR approach (2014)Nonlinear effects of climate policy uncertainty and financial speculation on the global prices of oil and gas (2022)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)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Combining forecasts: A review and annotated bibliography (1989)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1994Comparing Predictive Accuracy5,578 cited
  • 1995Comparing Predictive Accuracy5,370 cited
  • 1997Testing the equality of prediction mean squared errors2,123 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2006A new statistic and practical guidelines for nonparametric Granger causality testing964 cited
  • 2002Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime737 cited
  • 2013Forecasting the Price of Oil388 cited
  • 2012Real-Time Forecasts of the Real Price of Oil362 cited
  • 2010International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models353 cited
  • 2008What Drives Natural Gas Prices?352 cited
  • 1976Forecasting Transformed Series297 cited
  • 2012Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach295 cited
  • 2006Testing for Market Integration Crude Oil, Coal, and Natural Gas292 cited
  • 2015A novel hybrid method for crude oil price forecasting272 cited
  • 2013Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices263 cited

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2010
Forecasting the Price of Oil
227 cited

Cited by

  • 2022Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling49 cited