Forecasting Oil Price Movements: Exploiting the Information in the Future Market
Download full text from publisher
Other versions of this item:
- Andrea Coppola, 2008. "Forecasting oil price movements: Exploiting the information in the futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(1), pages 34-56, January.
References listed on IDEAS
- repec:nsr:niesrd:181 is not listed on IDEAS
- James Mitchell & Richard J. Smith & Martin R. Weale, 2002.
"Quantification of Qualitative Firm-Level Survey Data,"
Royal Economic Society, vol. 112(478), pages 117-135, March.
- Dr Martin Weale & Dr. James Mitchell, 2001. "Quantification of qualitative firm-level survey data," National Institute of Economic and Social Research (NIESR) Discussion Papers 181, National Institute of Economic and Social Research.
- Busetti, Fabio & Harvey, Andrew, 2003. "Seasonality Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 420-436, July.
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(4), pages 537-565, September.
- Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-252, July.
- Carlson, John A & Parkin, J Michael, 1975. "Inflation Expectations," Economica, London School of Economics and Political Science, vol. 42(166), pages 123-138, May.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Prat, Georges & Uctum, Remzi, 2011.
"Modelling oil price expectations: Evidence from survey data,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 51(3), pages 236-247, June.
- Georges Prat & Remzi Uctum, 2009. "Modelling oil price expectations: evidence from survey data," EconomiX Working Papers 2009-28, University of Paris Nanterre, EconomiX.
- Paraschiv, Florentina & Mudry, Pierre-Antoine & Andries, Alin Marius, 2015. "Stress-testing for portfolios of commodity futures," Economic Modelling, Elsevier, vol. 50(C), pages 9-18.
- Konstantinidi, Eirini & Skiadopoulos, George, 2011.
"Are VIX futures prices predictable? An empirical investigation,"
International Journal of Forecasting,
Elsevier, vol. 27(2), pages 543-560, April.
- Konstantinidi, Eirini & Skiadopoulos, George, 2011. "Are VIX futures prices predictable? An empirical investigation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560.
- Wang, Yudong & Liu, Li & Diao, Xundi & Wu, Chongfeng, 2015. "Forecasting the real prices of crude oil under economic and statistical constraints," Energy Economics, Elsevier, vol. 51(C), pages 599-608.
- Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil prices," MPRA Paper 77531, University Library of Munich, Germany.
- Celso Brunetti, Bahattin Buyuksahin, Michel A. Robe, and Kirsten R. Soneson, 2013. "OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
- Vansteenkiste, Isabel, 2011. "What is driving oil futures prices? Fundamentals versus speculation," Working Paper Series 1371, European Central Bank.
- Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2014.
"Time-Varying Spot and Futures Oil Price Dynamics,"
Scottish Journal of Political Economy,
Scottish Economic Society, vol. 61(1), pages 78-97, February.
- Guglielmo Maria Caporale & Davide Ciferri & Allessandro Girardi, 2010. "Time-Varying Spot and Futures Oil Price Dynamics," Discussion Papers of DIW Berlin 988, DIW Berlin, German Institute for Economic Research.
- Guglielmo Caporale & Davide Ciferri & Alessandro Girardi, 2010. "Time-varying spot and futures oil price dynamics," Quaderni del Dipartimento di Economia, Finanza e Statistica 75/2010, Università di Perugia, Dipartimento Economia.
- Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2010. "Time-Varying Spot and Futures Oil Price Dynamics," CESifo Working Paper Series 3015, CESifo Group Munich.
- Michael T. Chng, 2010. "Comparing Different Economic Linkages Among Commodity Futures," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(9-10), pages 1348-1389, November/.
- E. Mamatzakis, 2014. "Revealing asymmetries in the loss function of WTI oil futures market," Empirical Economics, Springer, vol. 47(2), pages 411-426, September.
- 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.
- Naser, Hanan, 2016. "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, vol. 56(C), pages 75-87.
More about this item
Keywordscrude oil; futures market; forecasting.;
- G1 - Financial Economics - - General Financial Markets
- Q3 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-07-13 (All new papers)
- NEP-ENE-2007-07-13 (Energy Economics)
- NEP-FOR-2007-07-13 (Forecasting)
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:rtv:ceisrp:100. 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: (Barbara Piazzi). General contact details of provider: http://edirc.repec.org/data/csrotit.html .
We have no references for this item. You can help adding them by using this form .