An empirical model of daily highs and lows of West Texas Intermediate crude oil prices
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ye, Michael & Zyren, John & Shore, Joanne, 2005. "A monthly crude oil spot price forecasting model using relative inventories," International Journal of Forecasting, Elsevier, vol. 21(3), pages 491-501.
- Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
- Cheung, Yan-Leung & Cheung, Yin-Wong & He, Angela W.W. & Wan, Alan T.K., 2010. "A trading strategy based on Callable Bull/Bear Contracts," Pacific-Basin Finance Journal, Elsevier, vol. 18(2), pages 186-198, April.
- A. Ronald Gallant & Chien-Te Hsu & George Tauchen, 1999.
"Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance,"
The Review of Economics and Statistics,
MIT Press, vol. 81(4), pages 617-631, November.
- Gallant, A. Ronald & Hsu, Chien-Te & Tauchen, George, 2000. "Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance," Working Papers 00-04, Duke University, Department of Economics.
- Weller, Barry R & Kurre, James A, 1987. "Applicability of the Transfer Function Approach to Forecasting Employment Levels in Small Regions," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 21(1), pages 34-43, March.
- S. M. Ahmed & M. I. Ansari, 1997. "Modelling the efficiency of the Canadian foreign exchange market: a bivariate transfer function analysis," Applied Economics, Taylor & Francis Journals, vol. 29(1), pages 63-70.
- Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009.
"A high-low model of daily stock price ranges,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 28(2), pages 103-119.
- Yan-Leung Cheung & Yin-Wong Cheung & Alan T.K. Wan, 2008. "A High-Low Model of Daily Stock Price Ranges," CESifo Working Paper Series 2387, CESifo Group Munich.
- Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009. "A High-Low Model of Daily Stock Price Ranges," Working Papers 032009, Hong Kong Institute for Monetary Research.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-144, January.
- Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range-Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1047-1091, June.
- Tim Krehbiel & Lee C. Adkins, 2005. "Price risk in the NYMEX energy complex: An extreme value approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(4), pages 309-337, April.
- Albertson, Kevin & Aylen, Jonathan, 1999. "Forecasting using a periodic transfer function: with an application to the UK price of ferrous scrap," International Journal of Forecasting, Elsevier, vol. 15(4), pages 409-419, October.
- Yu, Lean & Wang, Shouyang & Lai, Kin Keung, 2008. "Forecasting crude oil price with an EMD-based neural network ensemble learning paradigm," Energy Economics, Elsevier, vol. 30(5), pages 2623-2635, September.
- Angela He & Alan Wan, 2009. "Predicting daily highs and lows of exchange rates: a cointegration analysis," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(11), pages 1191-1204.
- Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
- Agnolucci, Paolo, 2009. "Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models," Energy Economics, Elsevier, vol. 31(2), pages 316-321, March.
- Michael Ye & John Zyren & Carol Blumberg & Joanne Shore, 2009. "A Short-Run Crude Oil Price Forecast Model with Ratchet Effect," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 37(1), pages 37-50, March.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Feng Ren & David Giles, 2010.
"Extreme value analysis of daily Canadian crude oil prices,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 20(12), pages 941-954.
- Feng Ren & David E. Giles, 2007. "Extreme Value Analysis of Daily Canadian Crude Oil Prices," Econometrics Working Papers 0708, Department of Economics, University of Victoria.
- Morana, Claudio, 2001. "A semiparametric approach to short-term oil price forecasting," Energy Economics, Elsevier, vol. 23(3), pages 325-338, May.
- Fernandes, Marcelo & de Sa Mota, Bernardo & Rocha, Guilherme, 2005. "A multivariate conditional autoregressive range model," Economics Letters, Elsevier, vol. 86(3), pages 435-440, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lin, Boqiang & Zhang, Li & Wu, Ya, 2012. "Evaluation of electricity saving potential in China's chemical industry based on cointegration," Energy Policy, Elsevier, vol. 44(C), pages 320-330.
- 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, vol. 40(C), pages 405-415.
- Xiong, Tao & Li, Chongguang & Bao, Yukun, 2017. "Interval-valued time series forecasting using a novel hybrid HoltI and MSVR model," Economic Modelling, Elsevier, vol. 60(C), pages 11-23.
- Taiyong Li & Min Zhou & Chaoqi Guo & Min Luo & Jiang Wu & Fan Pan & Quanyi Tao & Ting He, 2016. "Forecasting Crude Oil Price Using EEMD and RVM with Adaptive PSO-Based Kernels," Energies, MDPI, Open Access Journal, vol. 9(12), pages 1-21, December.
- Henning Fischer & Ángela Blanco‐FERNÁndez & Peter Winker, 2016. "Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(2), pages 113-146, March.
- Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2017. "Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach," DOCUMENTOS DE TRABAJO CIEF 015923, UNIVERSIDAD EAFIT.
- Tao Xiong & Yukun Bao & Zhongyi Hu, 2014. "Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting," Papers 1401.1916, arXiv.org.
- Mostafa, Mohamed M. & El-Masry, Ahmed A., 2016. "Oil price forecasting using gene expression programming and artificial neural networks," Economic Modelling, Elsevier, vol. 54(C), pages 40-53.
- Ai Han & Yanan He & Yongmiao Hong & Shouyang Wang, 2013. "Forecasting Interval-valued Crude Oil Prices via Autoregressive Conditional Interval Models," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
More about this item
KeywordsCointegration Direction of change Forecast performance Trading strategy Transfer function Vector error correction;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:32:y:2010:i:6:p:1499-1506. 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: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/eneco .
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 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 RePEc Author Service 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.