Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis
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- Christiane Baumeister & Lutz Kilian & Xiaoqing Zhou, 2013. "Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis," Staff Working Papers 13-25, Bank of Canada.
- Kilian, Lutz & Baumeister, Christiane & Zhou, Xiaoqing, 2013. "Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis," CEPR Discussion Papers 9572, C.E.P.R. Discussion Papers.
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Cited by:
- Van Robays, Ine & Belu Mănescu, Cristiana, 2014.
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- Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K., 2014.
"Are there gains from pooling real-time oil price forecasts?,"
Energy Economics, Elsevier, vol. 46(S1), pages 33-43.
- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2014. "Are There Gains from Pooling Real-Time Oil Price Forecasts?," Staff Working Papers 14-46, Bank of Canada.
- Kilian, Lutz & Baumeister, Christiane & Lee, Thomas K, 2014. "Are there Gains from Pooling Real-Time Oil Price Forecasts?," CEPR Discussion Papers 10075, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2015.
"Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 338-351, July.
- Kilian, Lutz & Baumeister, Christiane, 2013. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," CEPR Discussion Papers 9569, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2013. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," Staff Working Papers 13-28, Bank of Canada.
- Baumeister, Christiane & Kilian, Lutz, 2013. "Forecasting the real price of oil in a changing world: A forecast combination approach," CFS Working Paper Series 2013/11, Center for Financial Studies (CFS).
- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2017.
"Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 275-295, March.
- Baumeister, Christiane & Kilian, Lutz & Lee, Thomas K., 2015. "Inside the crystal ball: New approaches to predicting the gasoline price at the pump," CFS Working Paper Series 500, Center for Financial Studies (CFS).
- Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2016. "Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump," CESifo Working Paper Series 5759, CESifo.
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- Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016.
"Exchange rates and commodity prices: Measuring causality at multiple horizons,"
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- Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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- Christiane Baumeister & Lutz Kilian, 2013. "Do Oil Price Increases Cause Higher Food Prices?," Staff Working Papers 13-52, Bank of Canada.
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- Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2014. "Forecasting the Oil-gasoline Price Relationship: Should We Care about the Rockets and the Feathers?," Working Papers 2014.21, Fondazione Eni Enrico Mattei.
- Andrea BASTIANIN & Marzio GALEOTTI & Matteo MANERA, 2015. "Forecasting the Oil-Gasoline Price Relationship: Should We Care about the Rockets and the Feathers?," Departmental Working Papers 2015-23, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2014. "Forecasting the Oil-Gasoline Price Relationship: Should We Care About the Rockets and the Feathers?," IEFE Working Papers 62, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy.
- Andrea Bastianin & Matteo Manera, 2020. "A test of time reversibility based on Lmoments with an application to the business cycles of the G7 economies," Working Papers 445, University of Milano-Bicocca, Department of Economics, revised Jun 2020.
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"Real‐time forecast combinations for the oil price,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 456-462, April.
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- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Clement Yelou, 2015. "Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?," Cahiers de recherche CREATE 2015-3, CREATE.
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- Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & Yelou, Clement, 2015. "Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?," Working Papers 208082, University of Laval, Center for Research on the Economics of the Environment, Agri-food, Transports and Energy (CREATE).
- Funk, Christoph, 2018. "Forecasting the real price of oil - Time-variation and forecast combination," Energy Economics, Elsevier, vol. 76(C), pages 288-302.
- Xuluo Yin & Jiangang Peng & Tian Tang, 2018. "Improving the Forecasting Accuracy of Crude Oil Prices," Sustainability, MDPI, vol. 10(2), pages 1-9, February.
- Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil prices," MPRA Paper 77531, University Library of Munich, Germany.
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- Kilian, Lutz & Baumeister, Christiane, 2013. "Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work," CEPR Discussion Papers 9768, C.E.P.R. Discussion Papers.
- Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2013. "Do high-frequency financial data help forecast oil prices? The MIDAS touch at work," CFS Working Paper Series 2013/22, Center for Financial Studies (CFS).
- Christiane Baumeister & Pierre Guérin & Lutz Kilian, 2014. "Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work," Staff Working Papers 14-11, Bank of Canada.
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- Karaki, Mohamad, 2017. "Asymmetries in the Responses of Regional Job Flows to Oil Price Shocks," MPRA Paper 89796, University Library of Munich, Germany, revised 11 Aug 2017.
- Arunanondchai, Panit & Senia, Mark C. & Capps, Oral, Jr., 2017.
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- Arunanondchai, Panit & Senia, Mark C. & Capps, Oral Jr, 2017. "Can U.S. EIA Retail Gasoline Price Forecasts Be Improved Upon?," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252717, Southern Agricultural Economics Association.
- Elder, John & Miao, Hong & Ramchander, Sanjay, 2014. "Price discovery in crude oil futures," Energy Economics, Elsevier, vol. 46(S1), pages 18-27.
- Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.
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More about this item
Keywords
oil price; Futures; WTI; Brent; Acquisition Cost; Refined products; Crack spread; Forecast accuracy; Real-time data;All these keywords.
JEL classification:
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2013-11-22 (Energy Economics)
- NEP-FOR-2013-11-22 (Forecasting)
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