of the price of crude oil. We provide a new measure of oil price expectations that is considerably more accurate than the … energy-intensive durables, for the debate on speculation in oil markets, and for oil price forecasting. …

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast … monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets …, including the question of whether financial market information helps forecast the real price of oil in physical markets. An …

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 … based on the premise that demand for crude oil derives from the demand for refined products such as gasoline or heating oil …

crude oil for horizons up to two years, which are widely used by practitioners. Traditionally, such out-of-sample forecasts …-time econometric oil price forecasting models. We investigate the merits of constructing combinations of six such models. Forecast … combinations have received little attention in the oil price forecasting literature to date. We demonstrate that over the last 20 …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0 ….28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …

We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …