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Time-Varying Spot and Futures Oil Price Dynamics

Caporale, Guglielmo Maria - 2013

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Persistent link: https://www.econbiz.de/10013094836

The role of investors’ fear in crude oil volatility forecasting

Haukvik, Nicole; Cheraghali, Hamid; Molnár, Peter - In: Research in international business and finance 70 (2024) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015055822

Crude Oil Prices : Trends and Forecast

Krichene, Noureddine - 2008

currencies, and weakening financial conditions, recent trends in oil prices might not persist further without triggering world …

Persistent link: https://www.econbiz.de/10014409032

Crude oil volatility forecasting : insights from a novel time-varying parameter GARCH-MIDAS model

Peng, Lijuan; Liang, Chao; Wang, Lu - In: International review of economics & finance : IREF 94 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014583437

Time-varying jump intensity and volatility forecasting of crude oil returns

Zhang, Lei; Chen, Yan; Bouri, Elie - In: Energy economics 129 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10014559002

Global tail risk and oil return predictability

Qian, Lihua; Zeng, Qing; Lu, Xinjie; Ma, Feng - In: Finance research letters 47 (2022) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10013553904

Forecasting crude oil prices : do technical indicators need economic constraints?

Wen, Danyan; He, Mengxi; Liu, Li; Zhang, Yaojie - In: Quantitative finance 22 (2022) 8, pp. 1545-1559

Persistent link: https://www.econbiz.de/10013367928

Are oil price forecasters finally right? : regressive expectations toward more fundamental values of the oil price

Reitz, Stefan; Ruelke, Jan-Christoph; Stadtmann, Georg - 2009

We use oil price forecasts from the Consensus Economic Forecast poll to analyze how forecasters form their expectations … role. Standard measures of forecast accuracy reveal forecasters' underperformance relative to the random walk benchmark …. However, this result appears to be biased due to peso problems. -- Oil price ; survey data ; forecast bias ; peso problem …

Persistent link: https://www.econbiz.de/10003908342

Oil price forecastability and economic uncertainty

Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia - In: Economics letters 132 (2015), pp. 125-128

Persistent link: https://www.econbiz.de/10011431472

Multifractal models, intertrade durations and return volatility

Segnon, Mawuli - 2015

Persistent link: https://www.econbiz.de/10011299266