A general approach to recovering market expectations from futures prices with an application to crude oil
Year of publication: |
2014
|
---|---|
Authors: | Baumeister, Christiane ; Kilian, Lutz |
Institutions: | Center for Financial Studies |
Subject: | Futures | risk premium | market expectation | model uncertainty | forecast | oil price |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 466 |
Classification: | C53 - Forecasting and Other Model Applications ; D84 - Expectations; Speculations ; G14 - Information and Market Efficiency; Event Studies ; Q43 - Energy and the Macroeconomy |
Source: |
-
Baumeister, Christiane, (2016)
-
Baumeister, Christiane, (2014)
-
Baumeister, Christiane, (2016)
- More ...
-
Inside the crystal ball: New approaches to predicting the gasoline price at the pump
Baumeister, Christiane, (2015)
-
Understanding the decline in the price of oil since June 2014
Baumeister, Christiane, (2015)
-
Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
Baumeister, Christiane, (2013)
- More ...