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Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz - Center for Financial Studies - 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/10010958778
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Testing the International Crude Oil Market Integration with Structural Breaks
Aruga, Kentaka - In: Economics Bulletin 35 (2015) 1, pp. 641-649
As spread between the WTI and Brent crude oil price is widening after early 2011, it could be that the price … reveals that while the Brent and Dubai crude oil markets continue to have a long-run relationship, the WTI no longer have a …
Persistent link: https://www.econbiz.de/10011207119
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The Pricing Of Crude Oil
Dunn, Stephanie; Holloway, James - In: RBA Bulletin (2012) September, pp. 65-74
Arguably no commodity is more important for the modern economy than oil. This is true in terms of both production and financial market activity. Yet its pricing is relatively complex. In part this reflects the fact that there are actually more than 300 types of crude oil, the characteristics of...
Persistent link: https://www.econbiz.de/10010815247
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Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K - C.E.P.R. Discussion Papers - 2015
accuracy. The most accurate individual model is a VAR(1) model for real retail gasoline and Brent crude oil prices. Even …
Persistent link: https://www.econbiz.de/10011145393
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Inside the crystal ball: New approaches to predicting the gasoline price at the pump
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K. - Center for Financial Studies - 2015
accuracy. The most accurate individual model is a VAR(1) model for real retail gasoline and Brent crude oil prices. Even …
Persistent link: https://www.econbiz.de/10011124460
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Price discovery in crude oil futures
Elder, John; Miao, Hong; Ramchander, Sanjay - In: Energy Economics 46 (2014) S1, pp. 18-18
find that WTI maintains a dominant role in price discovery relative to Brent, with an estimated information share in excess …This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI … sweet crude and Brent sweet crude. Using data on the most active futures contracts measured at the one-second frequency, we …
Persistent link: https://www.econbiz.de/10011115887
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The microstructure of the North American oil market
Kaminski, Vincent - In: Energy Economics 46 (2014) S1, pp. 1-1
Recent developments in production of oil and natural gas from the tight sand and shale rock formations (primarily hydraulic fracturing and horizontal drilling) have a profound impact on the North American energy markets. The paper reviews recent crude oil production trends and their impact on...
Persistent link: https://www.econbiz.de/10011115908
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Oil prices: Breaks and trends
Noguera, José - In: Energy Economics 37 (2013) C, pp. 60-67
This paper contributes to the literature of the stationarity of financial time series and the literature on oil and macroeconomics in several ways. First, it uses Kejriwal and Perron (2010) sequential procedure to endogenously determine multiple structural changes in real oil prices without...
Persistent link: https://www.econbiz.de/10010868753
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Are there Gains from Pooling Real-Time Oil Price Forecasts?
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K - C.E.P.R. Discussion Papers - 2014
The answer depends on the objective. The approach of combining five of the leading forecasting models with equal weights dominates the strategy of selecting one model and using it for all horizons up to two years. Even more accurate forecasts, however, are obtained when allowing the forecast...
Persistent link: https://www.econbiz.de/10011083466
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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