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Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz - 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/10010326672
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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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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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Inside the crystal ball : new approaches to predicting the gasoline price at the pump
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas - 2016
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/10011429580
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Inside the crystal ball : new approaches to predicting the gasoline price at the pump
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas - 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/10010464683
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Are product spreads useful for forecasting? : an empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - 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/10009781115
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Do high-frequency financial data help forecast oil prices? : the MIDAS touch at work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 2013
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...
Persistent link: https://www.econbiz.de/10010203447
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2016
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 … the futures price by the estimated risk premium, a common problem is that there are as many measures of the market …
Persistent link: https://www.econbiz.de/10011434566
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2014
Futures markets are a potentially valuable source of information about market expectations. Exploiting this information … has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a … be recovered by adjusting the futures price by the estimated risk premium, a common problem in applied work is that there …
Persistent link: https://www.econbiz.de/10010409922
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Are product spreads useful for forecasting oil prices? : an empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - In: Macroeconomic dynamics 22 (2018) 3, pp. 562-580
Persistent link: https://www.econbiz.de/10011916657