Alquist, R., and L. Kilian (2010), “What Do We Learn from the Price of Crude Oil Futures?†Journal of Applied Econometrics, 25, 539-573.
Alquist, R., Kilian, L., and R.J. Vigfusson (2013), “Forecasting the Price of Oil,†in: G. Elliott and A. Timmermann (eds.), Handbook of Economic Forecasting, 2, Amsterdam: North-Holland, 427-507.
Andreou, E., E. Ghysels, and A. Kourtellos (2010), “Regression Models with Mixed Sampling Frequencies,†Journal of Econometrics, 158, 2, 246-261.
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Andreou, E., E. Ghysels, and A. Kourtellos (2013), ““Should Macroeconomic Forecasters Use Daily Financial Data and How?†Journal of Business and Economic Statistics, 31, 240-251.
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Barsky, R.B., and L. Kilian (2002), “Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative,†in: Bernanke, B., and K. Rogoff (eds.), NBER Macroeconomics Annual 2001, 137-183.
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- Baumeister, C., and L. Kilian (2013b), “Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach,†mimeo, University of Michigan.
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Baumeister, C., Kilian, L., and X. Zhou (2013),“Are Product Spreads Useful for Forecasting ? An Empirical Evaluation of the Verleger Hypothesis,†mimeo, University of Michigan.
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Chen, S.S. (2013), “Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks,†forthcoming: Economic Inquiry.
Chiu, C.W., Eraker, B., Foerster, A.T., Kim, T.B., and H.D. Seoane (2012), “Estimating VARs Sampled at Mixed or Irregularly Spaced Frequencies: A Bayesian Approach,†mimeo, Federal Reserve Bank of Kansas City.
Clark, T.E., and M.W. McCracken (2009), “Tests of Equal Predictive Ability with Real-Time Data,†Journal of Business and Economic Statistics, 27, 441-454.
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Clements, M.P., and A.B. Galvao (2008), “Macroeconomic Forecasting with MixedFrequency Data: Forecasting US Output Growth,†Journal of Business and Economic Statistics, 26, 546-554.
Clements, M.P., and A.B. Galvao (2009), “Forecasting US Output Growth Using Leading Indicators: An Appraisal Using MIDAS Models,†Journal of Applied Econometrics, 24, 1187-1206.
Diebold, F.X., and R.S. Mariano (1995), “Comparing Predictive Accuracy,†Journal of Business and Economic Statistics, 13, 253-263.
Fattouh, B., Kilian, L., and L. Mahadeva (2013), “The Role of Speculation in Oil Markets: What Have We Learned So Far?†Energy Journal, 34, 7-33.
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Foroni, C., Marcellino, M., and C. Schuhmacher (2012), “U-MIDAS: MIDAS Regressions with Unrestricted Lag Polynomials,†mimeo, EUI.
Frankel, J. (2008), “The Effect of Monetary Policy on Real Commodity Prices,†in: Campbell, J. (ed.), Asset Prices and Monetary Policy, University of Chicago Press, 291-327.
- Ghysels, E. (2012), “Macroeconomics and the Reality of Mixed Frequency Data,†mimeo, University of North Carolina.
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Ghysels, E., and J.H. Wright (2009), “Forecasting Professional Forecasters,†Journal of Business and Economic Statistics, 27, 504-516.
Hamilton, J.D. (2008), “Daily Monetary Policy Shocks and New Home Sales,†Journal of Monetary Economics, 55, 1171-1190.
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Hotelling, H. (1931), “The Economics of Exhaustible Resources,†Journal of Political Economy, 39, 137-175.
- Inoue, A., and L. Kilian (2004), “In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?†Econometric Reviews, 23, 371-402.
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Kilian, L. (2009), “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market,†American Economic Review, 99, 1053-1069.
Kilian, L. and T.K. Lee (2013), “Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories,†forthcoming: Journal of International Money and Finance.
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Knittel, C.R., and R.S. Pindyck (2013), “The Simple Economics of Commodity Price Speculation,†mimeo, MIT.
Pesaran, M.H., and A. Timmermann (2009), “Testing Dependence among Serially Correlated Multicategory Variables,†Journal of the American Statistical Association, 104, 325-337.
Schorfheide, F., and D. Song (2012), “Real-Time Forecasting with a Mixed Frequency VAR,†mimeo, University of Pennsylvania.