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Unbiasedness and time varying risk premia in the crude oil futures market

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Author Info
Moosa, Imad A.
Al-Loughani, Nabeel E.
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File URL: http://www.sciencedirect.com/science/article/B6V7G-458XJS2-69/2/9696bd7247997cb4fef83a6ece71a9c1
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Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 16 (1994)
Issue (Month): 2 (April)
Pages: 99-105
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Handle: RePEc:eee:eneeco:v:16:y:1994:i:2:p:99-105

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  1. Matteo Manera & Chiara Longo & Anil Markandya & Elisa Scarpa, 2007. "Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting," Working Papers 2007.4, Fondazione Eni Enrico Mattei. [Downloadable!]
  2. Giliola Frey & Matteo Manera & Anil Markandya & Elisa Scarpa, 2009. "Econometric Models for Oil Price Forecasting: A Critical Survey," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, vol. 10(1), pages 29-44, 04. [Downloadable!]
  3. Menzie D. Chinn & Michael LeBlanc & Olivier Coibion, 2005. "The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline," NBER Working Papers 11033, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Georges Prat & Remzi Uctum, 2009. "Modelling oil price expectations: evidence from survey data," EconomiX Working Papers 2009-28, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
  5. Georges Prat & Remzi Uctum, 2006. "Economically rational expectations theory: evidence from the WTI oil price survey data," Post-Print halshs-00173113_v1, HAL. [Downloadable!]
  6. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York. [Downloadable!]
  7. Patrizio Pagano & Massimiliano Pisani, 2006. "Risk-Adjusted Forecasts of Oil Prices," Temi di discussione (Economic working papers) 585, Bank of Italy, Economic Research Department. [Downloadable!]
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  8. Michael S. Haigh & Matthew T. Holt, 2002. "Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 269-289. [Downloadable!]
  9. McKenzie, Andrew M. & Holt, Matthew T., 1998. "Market Efficiency In Agricultural Futures Markets," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20933, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
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