Nothing Special   »   [go: up one dir, main page]

create a website
On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016. (2017). Cifarelli, Giulio ; Paesani, Paolo.
In: MPRA Paper.
RePEc:pra:mprapa:84009.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 31

References cited by this document

Cocites: 47

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Achen, C., 1982. Interpreting and using regression. Thousand Oaks, CA: Sage Publications.
    Paper not yet in RePEc: Add citation now
  2. Babel, A., McGillicuddy, J., 2015. Oil prices: is supply or demand behind the slump? Federal Reserve Bank of Saint Louis Economic Synopses, 8.
    Paper not yet in RePEc: Add citation now
  3. Baumeister, C., Kilian, L., 2015. Understanding the decline in price of oil since June 2015. CEPR Discussion Paper, 10404.

  4. Bollerslev, T., Wooldridge, J.M., 1992. Quasi-maximum likelihood estimation and dynamic models with time-varying co-variances. Econometric Reviews, 11, 143-172.
    Paper not yet in RePEc: Add citation now
  5. Brock W.A., Dechert, W.D., Scheinkman, J.A., 1987. A test for independence based on the correlation dimension, Department of Economics, University of Winsconsin-Madison, SSRI Working Paper n. 8702.
    Paper not yet in RePEc: Add citation now
  6. Brock W.A., Hommes C.H., 1998. Heterogeneous Beliefs and Route to Chaos in a Simple Asset Pricing Model, Journal of Economic Dynamics and Control, 22: 1235-1274.

  7. Chia, W.-M., Li, M., Zheng, H., 2014. Regime switching models in the foreign exchange market. In Dieci R., He X.-Z., Hommes C. (eds) Nonlinear economic dynamics and financial modelling. Springer, Heidelberg, 201-223.

  8. Cifarelli, G., 2013. Smooth transition regime shifts and oil price dynamics. Energy Economics, 38, 160-167.

  9. Cifarelli, G., Paladino, G. 2011. Hedging vs. speculative pressures on commodity futures returns, MPRA Paper n. 28229, online at https://mpra.ub.uni.muenchen.de/28229/

  10. Cleveland W.S., 1993, Visualizing Data, Hobart Press: Summit, NJ.
    Paper not yet in RePEc: Add citation now
  11. CommodityPoint, 2013. Global oil markets – increasing uncertainty and risk. CommodityPoint White paper, January 2013.
    Paper not yet in RePEc: Add citation now
  12. De Long, J.B., Shleifer, A., Summers, L.H., Waldmann, R.J., 1990. Noise Trader Risk in Financial Markets. Journal of Political Economy, 98, 703-738.

  13. Figuerola-Ferretti, I., Gonzalo, J. 2010. Modelling and measuring price discovery in commodity markets. Journal of Econometrics, 158, 95-107.

  14. Frankel J.A., Froot, K.A., 1986, Understanding the US Dollar in the Eighties: the Expectations of Chartists and Fundamentalists, The Economic Record, 62, 24-38.

  15. Hamilton, J., 2009. Understanding crude oil prices. Energy Journal, 30, 179-206.

  16. Kesicki, F., 2010. The third oil surge – What’s different this time? Energy Policy, 36, 1596 – 1606.
    Paper not yet in RePEc: Add citation now
  17. Luukkonen, R., Saikkonen, P., Teräsvirta, T., 1988. Testing linearity against smooth transition autoregressive models. Biometrika, 75, 491-499.
    Paper not yet in RePEc: Add citation now
  18. Master, M.E., 2008. Testimony before the Committee on Homeland Security and Government Affairs, United States Senate, May 20.
    Paper not yet in RePEc: Add citation now
  19. Morana, C., 2001. Semi-parametric approach to short-term oil price forecasting. Energy Economics, 23, 325–338.

  20. Nakov, A., Nuño, G., 2011. Saudi ARAMCO and the oil market. ECB Working Paper, 1354.

  21. Reitz S., Westerhoff, F.H., 2007. Commodity price cycles and heterogeneous speculators: A STAR-GARCH Model, Empirical Economics, 33: 231-244.

  22. Santabárbara, D., 2017. The oil market: recent developments and outlook. Banco de España, Analytical Articles Economic Bulletin 3/2017.

  23. Shleifer A., Vishny, R., 1997. The limits of arbitrage. Journal of Finance, 52, 35-55.

  24. Silvennoinen, A., Thorp, S., 2013. Financialization, crisis and commodity correlation dynamics. Journal of International Financial Markets, Institutions and Money, 24, 42-65.

  25. Stein, J.L., 1961. The simultaneous determination of spot and futures prices. American Economic Review, 51, 1012-1025. Tang, K., Xiong, W. 2010. Index investment and the financialization of commodities. NBER Working Paper w16385, NBER, Cambridge, MA, Princeton NJ.

  26. Teräsvirta, T., 1994. Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association, 89, 208-218.
    Paper not yet in RePEc: Add citation now
  27. Tokic, D., 2011. Rational destabilizing speculation, positive feedback trading and the oil bubble of 2008. Energy Policy, 39, 2051-2061.

  28. Vo, M.T., 2009. Regime-switching stochastic volatility: Evidence from the crude oil market. Energy Economics, 31, 779 – 788.

  29. Wan, J.-Y., Kao, C.-W., 2009. Evidence on the contrarian trading in the foreign exchange markets, Economic Modelling, 26, 1420-1431.

  30. Westerhoff F.H., 2004. Multiasset market dynamics. Macroeconomic Dynamics, 8: 596-616.

  31. Westerhoff, F.H., Reitz, S., 2005. Commodity price dynamics and the non-linear Market Impact of Technical Traders: Empirical Evidence for the US Corn Market. Ph

Cocites

Documents in RePEc which have cited the same bibliography

  1. Macroeconomic outcomes of OPEC and non-OPEC oil supply shocks in the euro area. (2022). Chang, Tsangyao ; Lee, Chien-Chiang ; Zhang, Dongna ; Cai, Yifei.
    In: Energy Economics.
    RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001517.

    Full description at Econpapers || Download paper

  2. Does the source of oil supply shock matter in explaining the behavior of U.S. consumer spending and sentiment?. (2021). Alsalman, Zeina.
    In: Empirical Economics.
    RePEc:spr:empeco:v:61:y:2021:i:3:d:10.1007_s00181-020-01900-9.

    Full description at Econpapers || Download paper

  3. Price Setting and Volatility: Evidence from Oil Price Volatility Shocks. (2021). Klepacz, Matthew.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1316.

    Full description at Econpapers || Download paper

  4. Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing. (2021). Paesani, Paolo ; Cifarelli, Giulio.
    In: The Energy Journal.
    RePEc:aen:journl:ej42-5-cifarelli.

    Full description at Econpapers || Download paper

  5. Bubbles in Crude Oil and Commodity Energy Index: New Evidence. (2020). Floros, Christos ; Galyfianakis, Georgios.
    In: Energies.
    RePEc:gam:jeners:v:13:y:2020:i:24:p:6648-:d:463170.

    Full description at Econpapers || Download paper

  6. Effects of oil price fall on the betas in the Unconventional Oil & Gas Industry. (2020). de Sanctis, Daniele ; Dallocchio, Maurizio ; Teti, Emanuele.
    In: Energy Policy.
    RePEc:eee:enepol:v:144:y:2020:i:c:s030142152030402x.

    Full description at Econpapers || Download paper

  7. The US oil supply revolution and the global economy. (2019). Mohaddes, Kamiar ; Raissi, Mehdi.
    In: Empirical Economics.
    RePEc:spr:empeco:v:57:y:2019:i:5:d:10.1007_s00181-018-1505-9.

    Full description at Econpapers || Download paper

  8. Price Setting and Volatility: Evidence from Oil Price Volatility Shocks. (2018). Klepacz, Matthew.
    In: 2018 Meeting Papers.
    RePEc:red:sed018:145.

    Full description at Econpapers || Download paper

  9. Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing. (2018). Cifarelli, Giulio ; Paesani, Paolo.
    In: MPRA Paper.
    RePEc:pra:mprapa:90470.

    Full description at Econpapers || Download paper

  10. Forecasting crude oil price: Does exist an optimal econometric model?. (2018). de Albuquerquemello, Vinicius Phillipe ; Maia, Sinezio Fernandes ; da Nobrega, Cassio ; de Medeiros, Rennan Kertlly.
    In: Energy.
    RePEc:eee:energy:v:155:y:2018:i:c:p:578-591.

    Full description at Econpapers || Download paper

  11. The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies. (2018). Ratti, Ronald ; Kang, Wensheng ; Ewing, Bradley T.
    In: Energy Economics.
    RePEc:eee:eneeco:v:72:y:2018:i:c:p:505-516.

    Full description at Econpapers || Download paper

  12. Identifying oil price shocks and their consequences: the role of expectations in the crude oil market. (2018). Tamanyu, Yoichiro ; Ohyama, Shinsuke ; Nakajima, Jouchi ; Higashio, Naoto ; Fueki, Takuji.
    In: BIS Working Papers.
    RePEc:bis:biswps:725.

    Full description at Econpapers || Download paper

  13. On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016. (2017). Cifarelli, Giulio ; Paesani, Paolo.
    In: MPRA Paper.
    RePEc:pra:mprapa:84009.

    Full description at Econpapers || Download paper

  14. The Macroeconomics Outcome of Oil Shocks in the Small Eurozone Economies. (2017). ribba, antonio ; Raduzzi, Raphael .
    In: Center for Economic Research (RECent).
    RePEc:mod:recent:127.

    Full description at Econpapers || Download paper

  15. The U.S. Oil Supply Revolution and the Global Economy. (2017). Raissi, Mehdi ; Mohaddes, Kamiar.
    In: Working Papers.
    RePEc:erg:wpaper:1124.

    Full description at Econpapers || Download paper

  16. Where do jobs go when oil prices drop?. (2017). Karaki, Mohamad ; Herrera, Ana María ; Rangaraju, Sandeep Kumar .
    In: Energy Economics.
    RePEc:eee:eneeco:v:64:y:2017:i:c:p:469-482.

    Full description at Econpapers || Download paper

  17. The long-run price sensitivity dynamics of industrial and residential electricity demand: The impact of deregulating electricity prices. (2017). ADOM, PHILIP.
    In: Energy Economics.
    RePEc:eee:eneeco:v:62:y:2017:i:c:p:43-60.

    Full description at Econpapers || Download paper

  18. Oil and the economy: A systematic review of the literature for ecological economists. (2017). Kallis, Giorgos ; Sager, Jalel .
    In: Ecological Economics.
    RePEc:eee:ecolec:v:131:y:2017:i:c:p:561-571.

    Full description at Econpapers || Download paper

  19. Secular Stagnation: Determinants and Consequences for Australia. (2017). Tyers, Rodney ; Taylor, Grace.
    In: The Economic Record.
    RePEc:bla:ecorec:v:93:y:2017:i:303:p:615-650.

    Full description at Econpapers || Download paper

  20. The oil market: recent developments and outlook. (2017). Santabárbara, Daniel ; Santabarbara, Daniel.
    In: Economic Bulletin.
    RePEc:bde:journl:y:2017:i:9:d:aa:n:24.

    Full description at Econpapers || Download paper

  21. Evolución reciente y perspectivas del mercado de petróleo. (2017). Santabárbara, Daniel.
    In: Boletín Económico.
    RePEc:bde:joures:y:2017:i:9:d:aa:n:24.

    Full description at Econpapers || Download paper

  22. Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area. (2016). MORANA, CLAUDIO.
    In: Working Paper series.
    RePEc:rim:rimwps:16-02.

    Full description at Econpapers || Download paper

  23. Will Low Crude Oil Prices Cause a Global Recession?. (2016). Papatulic, Mariana ; Prisecaru, Petre.
    In: Global Economic Observer.
    RePEc:ntu:ntugeo:vol4-iss1-16-107.

    Full description at Econpapers || Download paper

  24. Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area. (2016). MORANA, CLAUDIO ; Claudio, Morana.
    In: Working Papers.
    RePEc:mib:wpaper:330.

    Full description at Econpapers || Download paper

  25. An Analysis of OPEC’s Strategic Actions, US Shale Growth and the 2014 Oil Price Crash. (2016). Ritz, Robert ; Behar, Alberto.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2016/131.

    Full description at Econpapers || Download paper

  26. Caribbean Energy; Macro-Related Challenges. (2016). Reynaud, Julien ; Acevedo, Sebastian ; Mejia, Sebastian Acevedo ; Wang, KE ; Che, Natasha X ; Ronci, Marcio ; El-Ashram, Ahmed ; McIntyre, Arnold ; Lutz, Mark Scott.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2016/053.

    Full description at Econpapers || Download paper

  27. The U.S. oil supply revolution and the global economy. (2016). Raissi, Mehdi ; Mohaddes, Kamiar.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:263.

    Full description at Econpapers || Download paper

  28. Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area. (2016). MORANA, CLAUDIO.
    In: Working Papers.
    RePEc:fem:femwpa:2016.23.

    Full description at Econpapers || Download paper

  29. The macroeconomic effects of oil price shocks: Evidence from a statistical identification approach. (2016). Plödt, Martin ; Herwartz, Helmut ; Plodt, Martin .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:61:y:2016:i:c:p:30-44.

    Full description at Econpapers || Download paper

  30. Disentangling the determinants of real oil prices. (2016). Wu, Wenfeng ; Liu, LI ; Wang, Yudong.
    In: Energy Economics.
    RePEc:eee:eneeco:v:56:y:2016:i:c:p:363-373.

    Full description at Econpapers || Download paper

  31. Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand. (2016). Kilian, Lutz ; Davis, Lucas ; Coglianese, John ; Stock, James H.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5764.

    Full description at Econpapers || Download paper

  32. The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices. (2016). Kilian, Lutz.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5723.

    Full description at Econpapers || Download paper

  33. OPEC vs US shale oil: Analyzing the shift to a market-share strategy. (2016). Ritz, Robert ; Behar, Alberto.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1623.

    Full description at Econpapers || Download paper

  34. The U.S. Oil Supply Revolution and the Global Economy. (2016). Raissi, Mehdi ; Mohaddes, Kamiar.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:1605.

    Full description at Econpapers || Download paper

  35. Identifying Oil Price Shocks and Their Consequences:Role of Expectations and Financial Factors in the Crude Oil Market. (2016). Nakajima, Jouchi ; Fueki, Takuji ; Tamanyu, Yoichiro ; Ohyama, Shinsuke ; Higashio, Naoto.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:wp16e17.

    Full description at Econpapers || Download paper

  36. Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area. (2016). MORANA, CLAUDIO.
    In: ESP: Energy Scenarios and Policy.
    RePEc:ags:feemes:232925.

    Full description at Econpapers || Download paper

  37. The Great Plunge in Oil Prices: Causes, Consequences, and Policy Responses. (2015). Ohnsorge, Franziska ; Kose, Ayhan ; Baffes, John ; Stocker, Marc.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:1504.

    Full description at Econpapers || Download paper

  38. The U.S. Oil Supply Revolution and the Global Economy. (2015). Mohaddes, Kamiar ; Raissi, Mehdi.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2015/259.

    Full description at Econpapers || Download paper

  39. Evaluating a Year of Oil Price Volatility. (2015). Tuzemen, Didem ; Smith, Andrew ; Nie, Jun ; Davig, Troy ; CAKIR MELEK, NIDA.
    In: Economic Review.
    RePEc:fip:fedker:00031.

    Full description at Econpapers || Download paper

  40. The impact of oil price shocks on the U.S. stock market: a note on the roles of U.S. and non-U.S. oil production. (2015). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng .
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:249.

    Full description at Econpapers || Download paper

  41. The 2014 oil bust: Causes and consequences. (2015). Tokic, Damir .
    In: Energy Policy.
    RePEc:eee:enepol:v:85:y:2015:i:c:p:162-169.

    Full description at Econpapers || Download paper

  42. Regional and global spillovers and diversification opportunities in the GCC equity sectors. (2015). Demirer, Riza ; Balcilar, Mehmet ; Hammoudeh, Shawkat.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:24:y:2015:i:c:p:160-187.

    Full description at Econpapers || Download paper

  43. Quantitative effects of the shale oil revolution. (2015). Nuño Barrau, Galo ; Manescu, Cristiana ; Mnescu, Cristiana Belu ; Nuo, Galo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20151855.

    Full description at Econpapers || Download paper

  44. Oil and debt. (2015). Shin, Hyun Song ; Lombardi, Marco ; Kearns, Jonathan ; Domanski, Dietrich.
    In: BIS Quarterly Review.
    RePEc:bis:bisqtr:1503f.

    Full description at Econpapers || Download paper

  45. El choque petrolero y sus implicaciones en la economía colombiana. (2015). Toro-Córdoba, Jorge Hernán ; Montes-Uribe, Enrique ; López, David ; Garavito, Aaron.
    In: Borradores de Economia.
    RePEc:bdr:borrec:906.

    Full description at Econpapers || Download paper

  46. Quantitative effects of the shale oil revolution. (2015). Nuño Barrau, Galo ; Manescu, Cristiana ; Nuo, Galo.
    In: Working Papers.
    RePEc:bde:wpaper:1518.

    Full description at Econpapers || Download paper

  47. Structure Matters: Oil Markets Enter the Adelman Era. (2015). Verleger, Philip K.
    In: The Energy Journal.
    RePEc:aen:journl:ej36-si1-verleger.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-30 21:23:02 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.