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Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - Bank of Canada - 2013
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...
Persistent link: https://www.econbiz.de/10010849957
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Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - C.E.P.R. Discussion Papers - 2013
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...
Persistent link: https://www.econbiz.de/10011083532
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Time Series Analysis
Diebold, F.X.; Kilian, L.; Nerlove, Marc - Department of Agricultural and Resource Economics, … - 2006
We provide a concise overview of time series analysis in the time and frequency domains, with lots of references for further reading.
Persistent link: https://www.econbiz.de/10005220221
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Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate
Caner, M.; Kilian, L. - In: Journal of International Money and Finance 20 (2001) 5, pp. 639-657
Persistent link: https://www.econbiz.de/10005339462
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Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate
Caner, M.; Kilian, L. - In: Journal of international money and finance 20 (2001) 5, pp. 639-658
Persistent link: https://www.econbiz.de/10006899958
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Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order
Kilian, L. - In: Journal of forecasting 20 (2001) 3, pp. 161-180
Persistent link: https://www.econbiz.de/10006902545
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Recent Developments in Bootstrapping Time Series
Berkowitz, J.; Kilian, L. - In: Econometric reviews 19 (2000) 1, pp. 1-48
Persistent link: https://www.econbiz.de/10006909654
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Recent Developments in Bootstrapping Time Series
Berkowitz, J.; Kilian, L. - In: Econometric reviews 19 (2000) 1, pp. 1-48
Persistent link: https://www.econbiz.de/10006909662
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Confidence Intervals for Impulse Responses Under Departures from Normality
Kilian, L. - In: Econometric reviews 17 (1998) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10006920356
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USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS
Magnus, Jan R.; Vasnev, Andrey L.; Barrett, W.B.; … - In: Econometric theory 24 (2008) 2, pp. 553-580
Persistent link: https://www.econbiz.de/10007912719