메뉴 건너뛰기




Volumn 10, Issue 1, 2009, Pages 29-44

Econometric models for oil price forecasting: A critical survey

Author keywords

[No Author keywords available]

Indexed keywords


EID: 70349393993     PISSN: 1615245X     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (29)

References (37)
  • 1
    • 70349400695 scopus 로고    scopus 로고
    • Futures versus Univariate Forecast of Crude Oil Prices
    • Abosedra, S. (2005), "Futures versus Univariate Forecast of Crude Oil Prices", OPEC Review 29, 231-241.
    • (2005) OPEC Review , vol.29 , pp. 231-241
    • Abosedra, S.1
  • 3
    • 0040074923 scopus 로고
    • A Comparison of Petroleum Futures versus Spot Prices as Predictors of Prices in the Future
    • Bopp, A. E., and G. M. Lady (1991), "A Comparison of Petroleum Futures versus Spot Prices as Predictors of Prices in the Future", Energy Economics 13, 274-282.
    • (1991) Energy Economics , vol.13 , pp. 274-282
    • Bopp, A.E.1    Lady, G.M.2
  • 6
    • 0038630917 scopus 로고    scopus 로고
    • Implementing a Stochastic Model for Oil Futures Prices
    • Cortazar, G. and E. S. Schwartz (2005), "Implementing a Stochastic Model for Oil Futures Prices", Energy Economics 25, 215-238.
    • (2005) Energy Economics , vol.25 , pp. 215-238
    • Cortazar, G.1    Schwartz, E.S.2
  • 7
    • 33750177884 scopus 로고    scopus 로고
    • Modelling the World Oil Market: Assessment of a Quarterly Econometric Model
    • Dees, S., P. Karadeloglou, R. K. Kaufmann and M. Sanchez (2007), "Modelling the World Oil Market: Assessment of a Quarterly Econometric Model", Energy Policy 35, 178-191.
    • (2007) Energy Policy , vol.35 , pp. 178-191
    • Dees, S.1    Karadeloglou, P.2    Kaufmann, R.K.3    Sanchez, M.4
  • 8
    • 0002344794 scopus 로고
    • Bootstrap Methods: Another Look at the Jackknife
    • Efron, B. (1979), "Bootstrap Methods: Another Look at the Jackknife", Annals of Statistics 7, 1-26.
    • (1979) Annals of Statistics , vol.7 , pp. 1-26
    • Efron, B.1
  • 9
    • 70349391338 scopus 로고    scopus 로고
    • EIA, Energy Information Administration, Washington DC
    • Energy Information Administration (EIA, 2008), International Energy Outlook,Washington DC
    • (2008) International Energy Outlook
  • 10
    • 33744787265 scopus 로고    scopus 로고
    • Energy Information Administration, EIA, Washington DC
    • Energy Information Administration (EIA, 2009), Short-term Energy Outlook,Washington DC
    • (2009) Short-term Energy Outlook
  • 11
    • 0000013567 scopus 로고
    • Co-integration and Error Correction: Representation, Estimation and Testing
    • Engle, R. F. and C.W. J. Granger (1987), "Co-integration and Error Correction: Representation, Estimation and Testing", Econometrica 55, 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 12
    • 0001652452 scopus 로고
    • The Behaviour of Stock Market Prices
    • Fama, E. F. (1965),"The Behaviour of Stock Market Prices", Journal of Business 38, 420-429.
    • (1965) Journal of Business , vol.38 , pp. 420-429
    • Fama, E.F.1
  • 13
    • 0002753132 scopus 로고
    • Commodity Future Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage
    • Fama, E. F. and K. R. French (1987), "Commodity Future Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage", The Journal of Business 60, 55-73.
    • (1987) The Journal of Business , vol.60 , pp. 55-73
    • Fama, E.F.1    French, K.R.2
  • 17
    • 0012898787 scopus 로고
    • A Model of the World Oil Market for Project LINK: Integrating Economics, Geology, and Politics
    • Kaufmann, R. K. (1995), "A Model of the World Oil Market for Project LINK: Integrating Economics, Geology, and Politics", Economic Modelling 12, 165-178.
    • (1995) Economic Modelling , vol.12 , pp. 165-178
    • Kaufmann, R.K.1
  • 18
    • 14044279859 scopus 로고    scopus 로고
    • Does OPEC Matter? An Econometric Analysis of Oil Prices
    • Kaufmann, R. K. (2004), Does OPEC Matter? An Econometric Analysis of Oil Prices", The Energy Journal 25, 67-91.
    • (2004) The Energy Journal , vol.25 , pp. 67-91
    • Kaufmann, R.K.1
  • 20
    • 67349138355 scopus 로고    scopus 로고
    • Explaining the So-called 'Price Premium' in Oil Markets
    • Merino, A. and A. Ortiz (2005), "Explaining the So-called 'Price Premium' in Oil Markets", OPEC Review 29, 133-152.
    • (2005) OPEC Review , vol.29 , pp. 133-152
    • Merino, A.1    Ortiz, A.2
  • 21
    • 38149148505 scopus 로고
    • Unbiasedness and Time Varying Risk Premia in the Crude Oil Futures Market
    • Moosa, I. A., and N. E. Al-Loughani (1994), "Unbiasedness and Time Varying Risk Premia in the Crude Oil Futures Market", Energy Economics 16, 99-105.
    • (1994) Energy Economics , vol.16 , pp. 99-105
    • Moosa, I.A.1    Al-Loughani, N.E.2
  • 22
    • 0035339792 scopus 로고    scopus 로고
    • A Semiparametric Approach to Short-term Oil Price Forecasting
    • Morana, C. (2001), "A Semiparametric Approach to Short-term Oil Price Forecasting", Energy Economics 23, 325-338.
    • (2001) Energy Economics , vol.23 , pp. 325-338
    • Morana, C.1
  • 23
    • 56949091216 scopus 로고    scopus 로고
    • Forecasting Oil Price Movements with Crack Spread Futures
    • Murat, A. and E. Tokat (2009), "Forecasting Oil Price Movements with Crack Spread Futures", Energy Economics 31, 85-90.
    • (2009) Energy Economics , vol.31 , pp. 85-90
    • Murat, A.1    Tokat, E.2
  • 25
    • 0032673708 scopus 로고    scopus 로고
    • The Long-run Evolution of Energy Prices
    • Pindyck, R. S. (1999), "The Long-run Evolution of Energy Prices", The Energy Journal 20, 1-27.
    • (1999) The Energy Journal , vol.20 , pp. 1-27
    • Pindyck, R.S.1
  • 27
    • 0027077113 scopus 로고
    • Oil Futures and Spot Markets
    • Samii, M. V. (1992), "Oil Futures and Spot Markets", OPEC Review 4, 409-417.
    • (1992) OPEC Review , vol.4 , pp. 409-417
    • Samii, M.V.1
  • 28
    • 58549120744 scopus 로고    scopus 로고
    • Evaluating Information in Multiple Horizon Forecasts: The DOE's Energy Price Forecasts
    • Sanders, D. R., M. R. Manfredo and K. Boris (2009), "Evaluating Information in Multiple Horizon Forecasts: The DOE's Energy Price Forecasts", Energy Economics 31, 189-196.
    • (2009) Energy Economics , vol.31 , pp. 189-196
    • Sanders, D.R.1    Manfredo, M.R.2    Boris, K.3
  • 29
    • 0034229554 scopus 로고    scopus 로고
    • Short-term Variations and Long-term Dynamics in Commodity Prices
    • Schwartz, E. and J. E. Smith (2000); "Short-term Variations and Long-term Dynamics in Commodity Prices", Management Science 46, 893-911.
    • (2000) Management Science , vol.46 , pp. 893-911
    • Schwartz, E.1    Smith, J.E.2
  • 30
    • 0000792991 scopus 로고    scopus 로고
    • The Stochastic Behaviour of Commodity Prices: Implications for Valuation and Hedging
    • Schwartz, E. and J. E. Smith (1997), "The Stochastic Behaviour of Commodity Prices: Implications for Valuation and Hedging" Journal of Finance 51, 923-973.
    • (1997) Journal of Finance , vol.51 , pp. 923-973
    • Schwartz, E.1    Smith, J.E.2
  • 31
    • 0011573002 scopus 로고
    • Rational Expectations, Risk and Efficiency in Energy Futures Markets
    • Serletis A. (1991), "Rational Expectations, Risk and Efficiency in Energy Futures Markets", Energy Economics 13, 111-115.
    • (1991) Energy Economics , vol.13 , pp. 111-115
    • Serletis, A.1
  • 32
    • 0001527764 scopus 로고
    • A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
    • Stock, H. J., and Watson M. W. (1993), "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems", Econometrica 61, 783-820.
    • (1993) Econometrica , vol.61 , pp. 783-820
    • Stock, H.J.1    Watson, M.W.2
  • 33
    • 21644480422 scopus 로고    scopus 로고
    • Forecasting Crude Oil Spot Price Using OECD Petroleum Inventory Levels
    • Ye, M., J. Zyren and J. Shore (2002), "Forecasting Crude Oil Spot Price Using OECD Petroleum Inventory Levels", International Advances in Economic Research 8, 324-334.
    • (2002) International Advances in Economic Research , vol.8 , pp. 324-334
    • Ye, M.1    Zyren, J.2    Shore, J.3
  • 34
    • 21644474967 scopus 로고    scopus 로고
    • A Monthly Crude Oil Spot Price Forecasting Model Using Relative Inventories
    • Ye, M., J. Zyren and J. Shore (2005), A Monthly Crude Oil Spot Price Forecasting Model Using Relative Inventories, International Journal of Forecasting 21, 491-501.
    • (2005) International Journal of Forecasting , vol.21 , pp. 491-501
    • Ye, M.1    Zyren, J.2    Shore, J.3
  • 35
    • 33747178344 scopus 로고    scopus 로고
    • Forecasting Short-run Crude Oil Price Using High and Low Inventory Variables
    • Ye, M., J. Zyren and J. Shore (2006), "Forecasting Short-run Crude Oil Price Using High and Low Inventory Variables", Energy Policy 34, 2736-2743.
    • (2006) Energy Policy , vol.34 , pp. 2736-2743
    • Ye, M.1    Zyren, J.2    Shore, J.3
  • 37
    • 13844316629 scopus 로고    scopus 로고
    • Predective Evaluation of Econometric Forecasting Models in Commodity Future Markets
    • Zeng, T. and N. R. Swanson (1998), "Predective Evaluation of Econometric Forecasting Models in Commodity Future Markets", Studies in Nonlinear Dynamics and Econometrics 2, 159-177.
    • (1998) Studies in Nonlinear Dynamics and Econometrics , vol.2 , pp. 159-177
    • Zeng, T.1    Swanson, N.R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.