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Forecasting oil price movements: Exploiting the information in the futures market
16 references·5 citing·27 second hop
Forecasting oil price movements: Exploiting the information in the futures market (2007)Forecasting oil price movements: Exploiti…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyA Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Speculation and Economic Stability (1939)Speculation and Economic Stab…Forecasting the real prices of crude oil using robust regression models with regularization constraints (2020)Forecasting the real prices o…Forecasting oil prices: High-frequency financial data are indeed useful (2018)Forecasting oil prices: High-…Research on patterns in the fluctuation of the co-movement between crude oil futures and spot prices: A complex network approach (2014)Research on patterns in the f…Economic spillovers between related derivatives markets: The case of commodity and freight markets (2014)Economic spillovers between r…Time‐Varying Spot and Futures Oil Price Dynamics (2013)Time‐Varying Spot and Futures…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Macroeconomics and Reality (1980)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills

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1,206 cited
  • 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
  • 1939Speculation and Economic Stability913 cited
  • Cited by

    • 2014Economic spillovers between related derivatives markets: The case of commodity and freight markets97 cited
    • 2014Research on patterns in the fluctuation of the co-movement between crude oil futures and spot prices: A complex network approach86 cited
    • 2013Time‐Varying Spot and Futures Oil Price Dynamics78 cited
    • 2018Forecasting oil prices: High-frequency financial data are indeed useful71 cited
    • 2020Forecasting the real prices of crude oil using robust regression models with regularization constraints49 cited