Rational expectations, risk and efficiency in energy futures markets
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- Baumeister, Christiane & Kilian, Lutz, 2014.
"A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil,"
CEPR Discussion Papers
10162, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2016. "A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil," Staff Working Papers 16-18, Bank of Canada.
- Christiane Baumeister & Lutz Kilian, 2016. "A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil," CESifo Working Paper Series 5782, CESifo Group Munich.
- Baumeister, Christiane & Kilian, Lutz, 2014. "A general approach to recovering market expectations from futures prices with an application to crude oil," CFS Working Paper Series 466, Center for Financial Studies (CFS).
- Sadorsky, Perry, 2002. "Time-varying risk premiums in petroleum futures prices," Energy Economics, Elsevier, vol. 24(6), pages 539-556, November.
- Herbert, John H & Kreil, Erik, 1996. "US natural gas markets : How efficient are they?," Energy Policy, Elsevier, vol. 24(1), pages 1-5, January.
- Menzie D. Chinn & Olivier Coibion, 2014.
"The Predictive Content of Commodity Futures,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 34(7), pages 607-636, July.
- Menzie D. Chinn & Olivier Coibion, 2010. "The Predictive Content of Commodity Futures," NBER Working Papers 15830, National Bureau of Economic Research, Inc.
- Menzie D. Chinn & Olivier Coibion, 2010. "The Predictive Content of Commodity Futures," Working Papers 89, Department of Economics, College of William and Mary.
- 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.
- Giliola Frey & Matteo Manera & Anil Markandya & Elisa Scarpa, 2009. "Econometric Models for Oil Price Forecasting: A Critical Survey," CESifo Forum, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 10(1), pages 29-44, April.
- Andrea Bastianin & Matteo Manera & Anil Markandya & Elisa Scarpa, 2011. "Oil Price Forecast Evaluation with Flexible Loss Functions," Working Papers 2011.91, Fondazione Eni Enrico Mattei.
- Nicolau, Mihaela & Palomba, Giulio, 2015. "Dynamic relationships between spot and futures prices. The case of energy and gold commodities," Resources Policy, Elsevier, vol. 45(C), pages 130-143.
- Apostolos Serletis & Vaughn W. Hulleman, 2007.
"Business Cycles and the Behavior of Energy Prices,"
World Scientific Book Chapters,in: Quantitative And Empirical Analysis Of Energy Markets, chapter 4, pages 38-45
World Scientific Publishing Co. Pte. Ltd..
- Apostolos Serletis & Vaughn Hullernan, 1994. "Business Cycles and the Behavior of Energy Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 125-134.
- Serletis, Apostolos & Hulleman, Vaughn, 1994. "Business cycles and the behavior of energy prices," MPRA Paper 1745, University Library of Munich, Germany.
- 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.
- Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
- Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI, 2013. "Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets," Working Papers 394, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Herbert, John H, 1995. "Trading volume, maturity and natural gas futures price volatility," Energy Economics, Elsevier, vol. 17(4), pages 293-299, October.
- Claudio Dicembrino & Pasquale Lucio Scandizzo, 2012. "The Fundamental and Speculative Components of the Oil Spot Price: A Real Option Value Approach," CEIS Research Paper 229, Tor Vergata University, CEIS, revised 18 Apr 2012.
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