Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model
Citations
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Cited by:
- Wang, Jue & Zhou, Hao & Hong, Tao & Li, Xiang & Wang, Shouyang, 2020. "A multi-granularity heterogeneous combination approach to crude oil price forecasting," Energy Economics, Elsevier, vol. 91(C).
- Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013.
"Forecasting the Price of Oil,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507,
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- Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
- Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the price of oil," International Finance Discussion Papers 1022, Board of Governors of the Federal Reserve System (U.S.).
- Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, Centre for Economic Policy Research.
- Julien Chevallier & Benoît Sévi, 2013.
"A Fear Index to Predict Oil Futures Returns,"
Working Papers
2013.62, Fondazione Eni Enrico Mattei.
- Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers 2014-333, Department of Research, Ipag Business School.
- Julien, Chevallier & Sévi, Benoît, 2013. "A Fear Index to Predict Oil Futures Returns," Energy: Resources and Markets 156489, Fondazione Eni Enrico Mattei (FEEM).
- Julien Chevallier & Benoît Sévi, 2014. "A fear index to predict oil futures returns," Post-Print hal-01463111, HAL.
- Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
- Chevallier, Julien, 2011.
"Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model,"
Economic Modelling, Elsevier, vol. 28(1-2), pages 557-567, January.
- Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1), pages 557-567.
- Julien Chevallier, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Post-Print hal-00991961, HAL.
- Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2018. "Forecasting the prices of crude oil using the predictor, economic and combined constraints," Economic Modelling, Elsevier, vol. 75(C), pages 237-245.
- Sabri Boubaker & Zhenya Liu & Yifan Zhang, 2025. "Forecasting oil commodity spot price in a data-rich environment," Annals of Operations Research, Springer, vol. 345(2), pages 685-702, February.
- Drachal, Krzysztof, 2021. "Forecasting selected energy commodities prices with Bayesian dynamic finite mixtures," Energy Economics, Elsevier, vol. 99(C).
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- Costa, Alexandre Bonnet R. & Ferreira, Pedro Cavalcanti G. & Gaglianone, Wagner P. & Guillén, Osmani Teixeira C. & Issler, João Victor & Lin, Yihao, 2021.
"Machine learning and oil price point and density forecasting,"
Energy Economics, Elsevier, vol. 102(C).
- Alexandre Bonnet R. Costa & Pedro Cavalcanti G. Ferreira & Wagner P. Gaglianone & Osmani Teixeira C. Guillén & João Victor Issler & Yihao Lin, 2021. "Machine Learning and Oil Price Point and Density Forecasting," Working Papers Series 544, Central Bank of Brazil, Research Department.
- Ma, Yong & Li, Shuaibing & Liu, Xiaojun, 2025. "Forecasting energy commodity returns: Can weak factors and nonlinearity help?," Economic Modelling, Elsevier, vol. 153(C).
- Libo Yin & Liyan Han, 2016. "Macroeconomic impacts on commodity prices: China vs. the United States," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 489-500, March.
- Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2021. "Common factors and the dynamics of industrial metal prices. A forecasting perspective," Resources Policy, Elsevier, vol. 74(C).
- Wajdi Hamza Dawod Alredany, 2018. "A Regression Analysis of Determinants Affecting Crude Oil Price," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 8(4), pages 110-119.
- Christina Anderl & Guglielmo Maria Caporale, 2024. "Expectations and Speculation in the Natural Gas Markets," CESifo Working Paper Series 11341, CESifo.
- Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
- Han, Liyan & Lv, Qiuna & Yin, Libo, 2017. "Can investor attention predict oil prices?," Energy Economics, Elsevier, vol. 66(C), pages 547-558.
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- Uğur Akkoç & Anıl Akçağlayan & Gamze Kargın Akkoç, 2021. "The impacts of oil price shocks in Turkey: sectoral evidence from the FAVAR approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 1147-1171, November.
- Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
- Jassim Aladwani, 2024. "Oil Volatility Uncertainty: Impact on Fundamental Macroeconomics and the Stock Index," Economies, MDPI, vol. 12(6), pages 1-24, June.
- repec:dau:papers:123456789/11714 is not listed on IDEAS
- Zhao, Yang & Li, Jianping & Yu, Lean, 2017. "A deep learning ensemble approach for crude oil price forecasting," Energy Economics, Elsevier, vol. 66(C), pages 9-16.
- Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2022.
"Common factors and the dynamics of cereal prices. A forecasting perspective,"
Journal of Commodity Markets, Elsevier, vol. 28(C).
- Marek Kwas & Alessia Paccagnini & Michal Rubaszek, 2020. "Common Factors and the Dynamics of Cereal Prices: A Forecasting Perspective," CAMA Working Papers 2020-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Naser, Hanan & Ahmed, Abdul Rashid, 2016. "Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models," MPRA Paper 77868, University Library of Munich, Germany.
- de Lima, Romulo S. & Schaeffer, Roberto, 2011. "The energy efficiency of crude oil refining in Brazil: A Brazilian refinery plant case," Energy, Elsevier, vol. 36(5), pages 3101-3112.
- Schalck, Christophe & Chenavaz, Régis, 2015.
"Oil commodity returns and macroeconomic factors: A time-varying approach,"
Research in International Business and Finance, Elsevier, vol. 33(C), pages 290-303.
- Christophe Schalck & Régis Chenavaz, 2015. "Oil commodity returns and macroeconomic factors: A time-varying approach," Post-Print hal-01457334, HAL.
- Urom, Christian & Onwuka, Kevin O. & Uma, Kalu E. & Yuni, Denis N., 2020. "Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns," International Economics, Elsevier, vol. 161(C), pages 10-29.
- Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Li, Sufang & Zhang, Hu & Yuan, Di, 2019. "Investor attention and crude oil prices: Evidence from nonlinear Granger causality tests," Energy Economics, Elsevier, vol. 84(C).
- Kyle E. Binder & Mohsen Pourahmadi & James W. Mjelde, 2020. "The role of temporal dependence in factor selection and forecasting oil prices," Empirical Economics, Springer, vol. 58(3), pages 1185-1223, March.
- Natanelov, Valeri & Alam, Mohammad J. & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011.
"Is there co-movement of agricultural commodities futures prices and crude oil?,"
Energy Policy, Elsevier, vol. 39(9), pages 4971-4984, September.
- Natanelov, Valeri & Alam, Mohammad Jahangir & McKenzie, Andrew M. & Van Huylenbroeck, Guido, "undated". "Is There Co-Movement of Agricultural Commodities Futures Prices and Crude Oil?," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114626, European Association of Agricultural Economists.
- repec:aen:journl:ej39-5-filis is not listed on IDEAS
- Chu, Pyung Kun & Hoff, Kristian & Molnár, Peter & Olsvik, Magnus, 2022. "Crude oil: Does the futures price predict the spot price?," Research in International Business and Finance, Elsevier, vol. 60(C).
- Christina Anderl & Guglielmo Maria Caporale, 2026. "Expectations and Speculation in the US Natural Gas Market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 31(2), pages 2713-2728, April.
- Phan, Dinh Hoang Bach & Narayan, Paresh Kumar & Gong, Qiang, 2021. "Terrorist attacks and oil prices: Hypothesis and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Kyle Olsen & James Mjelde & David Bessler, 2015. "Price formulation and the law of one price in internationally linked markets: an examination of the natural gas markets in the USA and Canada," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(1), pages 117-142, January.
- Krzysztof Drachal, 2018. "Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework," Energies, MDPI, vol. 11(5), pages 1-24, May.
- Natanelov, Valeri & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2013. "Crude oil–corn–ethanol – nexus: A contextual approach," Energy Policy, Elsevier, vol. 63(C), pages 504-513.
- Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo, 2017.
"On the influence of US monetary policy on crude oil price volatility,"
Empirical Economics, Springer, vol. 52(1), pages 155-178, February.
- Amendola, Alessandra & Candila, Vincenzo & Scognamillo, Antonio, 2015. "On the influence of the U.S. monetary policy on the crude oil price volatility," 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy 207860, Italian Association of Agricultural and Applied Economics (AIEAA).
- Wang, Ning & Guo, Ziyu & Shang, Dawei & Li, Keyuyang, 2024. "Carbon trading price forecasting in digitalization social change era using an explainable machine learning approach: The case of China as emerging country evidence," Technological Forecasting and Social Change, Elsevier, vol. 200(C).
- Duangnate, Kannika & Mjelde, James W., 2017. "Comparison of data-rich and small-scale data time series models generating probabilistic forecasts: An application to U.S. natural gas gross withdrawals," Energy Economics, Elsevier, vol. 65(C), pages 411-423.
- 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.
- Kyle E. Binder & James W. Mjelde, 2018. "Projecting impacts of carbon dioxide emission reductions in the US electric power sector: evidence from a data-rich approach," Climatic Change, Springer, vol. 151(2), pages 143-155, November.
- Stavros Degiannakis & George Filis & Vipin Arora, 2018.
"Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence,"
The Energy Journal, , vol. 39(5), pages 85-130, September.
- Stavros Degiannakis & George Filis & Vipin Arora, 2018. "Oil prices and stock markets: A review of the theory and empirical evidence," BAFES Working Papers BAFES22, Department of Accounting, Finance & Economic, Bournemouth University.
- Degiannakis, Stavros & Filis, George & Arora, Vipin, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," MPRA Paper 96270, University Library of Munich, Germany.
- Yuntong Liu & Yu Wei & Yi Liu & Wenjuan Li, 2020. "Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models," Discrete Dynamics in Nature and Society, Hindawi, vol. 2020, pages 1-12, December.
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