A general approach to recovering market expectations from futures prices with an application to crude oil
Year of publication: |
2016
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Authors: | Baumeister, Christiane ; Kilian, Lutz |
Publisher: |
Ottawa : Bank of Canada |
Subject: | Econometric and statistical methods | International topics |
Series: | Bank of Canada Staff Working Paper ; 2016-18 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.34989/swp-2016-18 [DOI] 857084313 [GVK] hdl:10419/148125 [Handle] RePEc:bca:bocawp:16-18 [RePEc] |
Classification: | C53 - Forecasting and Other Model Applications ; D84 - Expectations; Speculations ; G14 - Information and Market Efficiency; Event Studies ; Q43 - Energy and the Macroeconomy |
Source: |
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Baumeister, Christiane, (2016)
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Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work
Baumeister, Christiane, (2014)
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Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
Baumeister, Christiane, (2014)
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Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump
Baumeister, Christiane, (2015)
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Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
Baumeister, Christiane, (2011)
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Real-Time Forecasts of the Real Price of Oil
Baumeister, Christiane, (2011)
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