One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase in oil prices. This paper recognizes both the consumption and investment aspects...

Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of...

We present simple procedures for the prediction of a real valued sequence. The algorithms are based on a combination of several simple predictors. We show that if the sequence is a realization of a bounded stationary and ergodic random process then the average of squared errors converges, almost...

In this paper, we establish some limit theorems on the combined Csorgo-Révész increments with moduli of continuity for finite dimensional Gaussian random fields under mild conditions, via estimating upper bounds of large deviation probabilities on suprema of the finite dimensional Gaussian...

This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with long–range dependence. An asymptotically normal test is established even when long–range dependence is involved. In order to...