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

  • Ye, Michael
  • Zyren, John
  • Shore, Joanne
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    File URL: http://www.sciencedirect.com/science/article/B6V2W-4G9Y5B4-1/2/32a72367345be303274e3731c4da5691
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    Article provided by Elsevier in its journal Energy Policy.

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

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    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

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    1. Pindyck, Robert S., 1990. "Inventories and the short-run dynamics of commodity prices," Working papers 3133-90., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    2. Bryan Routledge & Duane Seppi & Chester Spatt, . "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-50, Carnegie Mellon University, Tepper School of Business.
    3. Michaelides, Alexander & Ng, Serena, 2000. "Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators," Journal of Econometrics, Elsevier, vol. 96(2), pages 231-266, June.
    4. Robert S. Pindyck, 2001. "The Dynamics of Commodity Spot and Futures Markets: A Primer," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 1-30.
    5. Angus Deaton & Guy Laroque, 1990. "On The Behavior of Commodity Prices," NBER Working Papers 3439, National Bureau of Economic Research, Inc.
    6. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
    7. Chambers, Marcus J & Bailey, Roy E, 1996. "A Theory of Commodity Price Fluctuations," Journal of Political Economy, University of Chicago Press, vol. 104(5), pages 924-57, October.
    8. Williams,Jeffrey C. & Wright,Brian D., 2005. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521023399.
    9. Bessembinder, Hendrik, et al, 1995. " Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, vol. 50(1), pages 361-75, March.
    10. 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, vol. 28(4), pages 463-477, December.
    11. 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, vol. 31(1), pages 87-102, March.
    12. 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.
    13. 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, vol. 28(3), pages 651-70, October.
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