for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …

; extreme value theory ; bootstrapping …

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 several new forecasting approaches for the U.S. retail price of gasoline and compare their accuracy with …

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information … has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the … market expectation of the price of the underlying asset. Although this expectation in principle may be recovered by adjusting …