Advanced Search
MyIDEAS: Login to save this article or follow this journal

Forecasting short-run crude oil price using high- and low-inventory variables

Contents:

Author Info

  • Ye, Michael
  • Zyren, John
  • Shore, Joanne
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V2W-4G9Y5B4-1/2/32a72367345be303274e3731c4da5691
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Energy Policy.

    Volume (Year): 34 (2006)
    Issue (Month): 17 (November)
    Pages: 2736-2743

    as in new window
    Handle: RePEc:eee:enepol:v:34:y:2006:i:17:p:2736-2743

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/enpol

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Williams,Jeffrey C. & Wright,Brian D., 1991. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521326162, 9.
    2. Robert S. Pindyck, 1990. "Inventories and the Short-Run Dynamics of Commodity Prices," NBER Working Papers 3295, National Bureau of Economic Research, Inc.
    3. Husted, Steven & Kollintzas, Tryphon, 1987. "Linear Rational Expectations Equilibrium Laws of Motion for Selected U.S. Raw Material Imports," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 651-70, October.
    4. Bryan Routledge & Duane Seppi & Chester Spatt, . "Equilibrium Forward Curves for Commodities," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 1997-50, Carnegie Mellon University, Tepper School of Business.
    5. Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers, Princeton, Woodrow Wilson School - Development Studies 145, Princeton, Woodrow Wilson School - Development Studies.
    6. A. Arize, 2000. "U.S. petroleum consumption behavior and oil price uncertainty: Tests of cointegration and parameter instability," Atlantic Economic Journal, International Atlantic Economic Society, International Atlantic Economic Society, vol. 28(4), pages 463-477, December.
    7. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers, Princeton, Department of Economics - Econometric Research Program 338, Princeton, Department of Economics - Econometric Research Program.
    8. Chambers, Marcus J & Bailey, Roy E, 1996. "A Theory of Commodity Price Fluctuations," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(5), pages 924-57, October.
    9. Bessembinder, Hendrik, et al, 1995. " Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, American Finance Association, vol. 50(1), pages 361-75, March.
    10. Alexander Michaelides & Serena Ng, 1997. "Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators," Boston College Working Papers in Economics, Boston College Department of Economics 373, Boston College Department of Economics.
    11. Miranda, Mario J & Glauber, Joseph W, 1993. "Estimation of Dynamic Nonlinear Rational Expectations Models of Primary Commodity Markets with Private and Government Stockholding," The Review of Economics and Statistics, MIT Press, vol. 75(3), pages 463-70, August.
    12. Robert S. Pindyck, 2001. "The Dynamics of Commodity Spot and Futures Markets: A Primer," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 3), pages 1-30.
    13. Michael Ye & John Zyren & Joanne Shore, 2003. "Elasticity of demand for relative petroleum inventory in the short run," Atlantic Economic Journal, International Atlantic Economic Society, International Atlantic Economic Society, vol. 31(1), pages 87-102, March.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Jeffrey A. Frankel, 2013. "Effects of Speculation and Interest Rates in a “Carry Trade” Model of Commodity Prices," NBER Working Papers 19463, National Bureau of Economic Research, Inc.
    2. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, Elsevier, vol. 30(C), pages 233-247.
    3. Fan, Ying & Liang, Qiang & Wei, Yi-Ming, 2008. "A generalized pattern matching approach for multi-step prediction of crude oil price," Energy Economics, Elsevier, Elsevier, vol. 30(3), pages 889-904, May.
    4. Yu, Lean & Wang, Shouyang & Lai, Kin Keung, 2008. "Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm," Energy Economics, Elsevier, Elsevier, vol. 30(5), pages 2623-2635, September.
    5. Xiong, Tao & Bao, Yukun & Hu, Zhongyi, 2013. "Beyond one-step-ahead forecasting: Evaluation of alternative multi-step-ahead forecasting models for crude oil prices," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 405-415.
    6. Frankel, Jeffrey A. & Rose, Andrew K., 2010. "Determinants of Agricultural and Mineral Commodity Prices," Scholarly Articles 4450126, Harvard Kennedy School of Government.
    7. 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, Ifo Institute for Economic Research at the University of Munich, vol. 10(1), pages 29-44, 04.
    8. Zhang, Xun & Yu, Lean & Wang, Shouyang & Lai, Kin Keung, 2009. "Estimating the impact of extreme events on crude oil price: An EMD-based event analysis method," Energy Economics, Elsevier, Elsevier, vol. 31(5), pages 768-778, September.
    9. Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
    10. de Souza e Silva, Edmundo G. & Legey, Luiz F.L. & de Souza e Silva, Edmundo A., 2010. "Forecasting oil price trends using wavelets and hidden Markov models," Energy Economics, Elsevier, Elsevier, vol. 32(6), pages 1507-1519, November.
    11. Ai Han & Yanan He & Yongmiao Hong & Shouyang Wang, 2013. "Forecasting Interval-valued Crude Oil Prices via Autoregressive Conditional Interval Models," Papers 2013-10-14, Working Paper.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:enepol:v:34:y:2006:i:17:p:2736-2743. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.