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Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Gkillas, Konstantinos.
In: Working Papers.
RePEc:pre:wpaper:201972.

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Cited: 4

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  1. Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks. (2021). Demirer, Riza ; Ji, Qiang ; Gupta, Rangan ; Luo, Jiawen.
    In: Working Papers.
    RePEc:pre:wpaper:202130.

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  2. Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Bouri, Elie ; Gkillas, Konstantinos.
    In: Computational Economics.
    RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10022-4.

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  3. Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers. (2021). Pierdzioch, Christian ; GUPTA, RANGAN.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:14:p:4173-:d:591975.

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  4. Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2020). GUPTA, RANGAN ; Pierdzioch, Christian ; Gkillas, Konstantinos ; Bouri, Elie.
    In: Working Papers.
    RePEc:pre:wpaper:202003.

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  37. Commodity index trading and hedging costs. (2014). Brunetti, Celso ; Reiffen, David .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:21:y:2014:i:c:p:153-180.

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  38. Energy futures prices and commodity index investment: New evidence from firm-level position data. (2014). Irwin, Scott ; Sanders, Dwight R..
    In: Energy Economics.
    RePEc:eee:eneeco:v:46:y:2014:i:s1:p:s57-s68.

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  39. Price discrimination and limits to arbitrage: An analysis of global LNG markets. (2014). Ritz, Robert.
    In: Energy Economics.
    RePEc:eee:eneeco:v:45:y:2014:i:c:p:324-332.

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  40. A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil. (2014). Kilian, Lutz ; Baumeister, Christiane.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10162.

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  41. Financialization of Commodity Markets. (2014). Cheng, Ing-Haw ; Xiong, Wei.
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:6:y:2014:p:419-441.

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  42. Oil Volatility Risk and Expected Stock Returns. (2014). Christoffersen, Peter ; Pan, Xuhui .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-06.

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  43. COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW. (2013). Prokopczuk, Marcel ; Back, Janis .
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:16:y:2013:i:06:n:s0219024913500325.

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  44. Futures trading and the excess comovement of commodity prices. (2013). Sévi, Benoît ; le Pen, Yannick ; Sevi, Benoit.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-19.

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  45. Futures trading and the excess comovement of commodity prices. (2013). Sevi, Benoit ; le Pen, Yannick.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-019.

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  46. Futures trading and the excess comovement of commodity prices. (2013). Sevi, Benoit ; le Pen, Yannick.
    In: Working Papers.
    RePEc:ipg:wpaper:19.

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  47. Mortgage Hedging in Fixed Income Markets. (2013). Venter, Gyuri ; Mueller, Philippe ; Vedolin, Andrea ; Malkhozov, Aytek.
    In: FMG Discussion Papers.
    RePEc:fmg:fmgdps:dp722.

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  48. Monetary policy surprises, positions of traders, and changes in commodity futures prices. (2013). Gospodinov, Nikolay ; Jamali, Ibrahim.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2013-12.

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  49. Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2013). Sevi, Benoit ; le Pen, Yannick ; Chevallier, Julien ; Bunn, Derek.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/11692.

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  50. Volatility Risk Premia and Exchange Rate Predictability. (2013). Sarno, Lucio ; Ramadorai, Tarun ; Della Corte, Pasquale.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9549.

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