Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and … policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available … information. We explore a range of new forecasting approaches for the retail price of gasoline and compare their accuracy with the …

Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one … important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is … product spread, defined as the difference between suitably weighted refined product market prices and the price of crude oil …

linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price … nonlinear. The linear alternative is rejected. The speed of price adjustment is increasing almost monotonically with the … magnitude of the price difference. …

We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to … modify the model to account for time-varying transaction costs. We find that the futures market leads in the process of price …

. Thus, investors' average welfare is maximal when access to price information is rationed. We show that a market for price … information can implement the fraction of insiders that maximizes investors' average welfare. This market features a high price to …

U.S. market in the price discovery process of Canadian interlisted stocks. In order to avoid large bounds for ….S. market in the price discovery process of Canadian interlisted stocks has been underestimated so far. Moreover, we suggest …

call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less …

has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a … poor measure of the market expectation of the price of the underlying asset. Even though the expectation in principle may … be recovered by adjusting the futures price by the estimated risk premium, a common problem in applied work is that there …

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast …, including the question of whether financial market information helps forecast the real price of oil in physical markets. An … lost by ignoring high-frequency financial data in forecasting the monthly real price of oil. …