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The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach. (2009). Huang, Bwo-Nung ; Hwang, M. J. ; Yang, C. W..
In: Energy Economics.
RePEc:eee:eneeco:v:31:y:2009:i:1:p:91-98.

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  2. Forecasting the volatility of crude oil basis: Univariate models versus multivariate models. (2024). Wang, Yudong ; Geng, Qianjie.
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  3. Modelling and Forecasting Energy Market Cycles: A Generalized Smooth Transition Approach.. (2023). Chini, Emilio Zanetti ; Canepa, Alessandra ; Alqaralleh, Huthaifa.
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  5. Economic importance of correlations for energy and other commodities. (2022). Narayan, Paresh Kumar ; Bannigidadmath, Deepa.
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  8. Energy prices forecasting using nonlinear univariate models. (2021). Karolak, Zuzanna.
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  10. Are Chinese crude oil futures good hedging tools?. (2021). Huang, Lixin ; Li, Jie.
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  11. The role of the threshold effect for the dynamics of futures and spot prices of energy commodities. (2020). Uddin, Gazi ; Rubaszek, Michał ; Marek, Kwas ; Zuzanna, Karolak.
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  12. The trilogy of China cotton markets: The lead–lag relationship among spot, forward, and futures markets. (2019). Martell, Terrence F ; Demir, Mert ; Wang, Jun.
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  13. Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis. (2019). Yang, Xinxia ; Zhu, Huiming ; Su, Xianfang.
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  14. The forward premium anomaly in the energy futures markets: A time-varying approach. (2019). Charfeddine, Lanouar ; Mrabet, Zouhair ; ben Khediri, Karim.
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  15. Time-varying lead–lag structure between the crude oil spot and futures markets. (2019). Yang, Yan-Hong ; Shao, Ying-Hui ; Stanley, Eugene H.
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  16. The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review. (2018). Coughlan, Joseph ; Morales, Lucia ; Zavadska, Miroslava.
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  17. Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets. (2018). Toyoshima, Yuki ; Hamori, Shigeyuki.
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  18. Threshold autoregressive models for interval-valued time series data. (2018). Hong, Yongmiao ; Wang, Shouyang ; Han, AI ; Sun, Yuying.
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  20. Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. (2017). Tsouknidis, Dimitris ; Magkonis, Georgios.
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  21. Oil price and FX-rates dependency. (2016). Czudaj, Robert ; Beckmann, Joscha ; Berger, Theo.
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  22. Does the S&P500 index lead the crude oil dynamics? A complexity-based approach. (2016). Mikropoulou, Christina ; Kyrtsou, Catherine ; Papana, Angeliki .
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  23. The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage. (2016). Nick, Sebastian.
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  24. Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test. (2014). Masih, Abul ; Alzahrani, Mohammed ; Al-Titi, Omar.
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  25. Price discovery in energy markets. (2014). Shrestha, Keshab.
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  26. Regime-dependent adjustment in energy spot and futures markets. (2014). Czudaj, Robert ; Beckmann, Joscha ; Belke, Ansgar.
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  27. Research on patterns in the fluctuation of the co-movement between crude oil futures and spot prices: A complex network approach. (2014). An, Haizhong ; Ding, Yinghui ; Gao, Xiangyun ; Zhong, Weiqiong ; Fang, Wei.
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  28. Forecasting the Crude Oil Price with Extreme Values. (2014). Haibin, Xie ; Yi, HU ; Mei, YU ; Mo, Zhou.
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  29. Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets. (2013). Nick, Sebastian.
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  30. Modeling and forecasting the volatility of petroleum futures prices. (2013). Yoon, Seong-Min ; Kang, Sanghoon .
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  31. Investigating the price discovery and risk transfer functions in the crude oil and gasoline futures markets: Some empirical evidence. (2013). Zhang, Yue-Jun ; Wang, Zi-Yi .
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  32. Modelling and forecasting the volatility of petroleum futures prices. (2012). Yoon, Seong-Min ; Kang, Sanghoon .
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  33. Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market. (2012). Chang, Kuang-Liang.
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  34. Price discount, inventories and the distortion of WTI benchmark. (2012). Kao, Chung-Wei ; Wan, Jer-Yuh .
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  35. The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model. (2012). Chang, Kuang-Liang.
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  36. Spot and futures commodity markets and the unbiasedness hypothesis - evidence from a novel panel unit root test. (2012). Czudaj, Robert ; Beckmann, Joscha.
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  37. A study of correlations between crude oil spot and futures markets: A rolling sample test. (2011). Wan, Jieqiu ; Liu, LI.
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  38. Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression. (2011). Lee, Chien-Chiang ; Zeng, Jhih-Hong .
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  39. Short-term oil models before and during the financial market crisis. (2010). Seitz, Franz ; Keis, Nikolaus ; Clostermann, Jorg.
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    RePEc:wpa:wuwpfi:0308003.

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  39. Price transmission and asymmetric adjustment in the Spanish dairy sector. (2003). serra, teresa ; Goodwin, Barry.
    In: Applied Economics.
    RePEc:taf:applec:v:35:y:2003:i:18:p:1889-1899.

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  40. Threshold Effects in the US Budget Deficit. (2003). Arestis, Philip ; Cipollini, Andrea.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:18.

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  41. The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity. (2003). Vahid, Farshid ; Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:492.

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  42. Nonlinear Permanent - Temporary Decompositions in Macroeconomics and Finance. (2003). Taylor, Mark ; Clarida, Richard.
    In: Economic Journal.
    RePEc:ecj:econjl:v:113:y:2003:i:486:p:c125-c139.

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  43. Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece. (2003). Kouretas, Georgios ; Aslanidis, Nektarios.
    In: Working Papers.
    RePEc:crt:wpaper:0311.

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  44. Is the Budget Deficit Sustainable when Fiscal Policy is nonlinear? The Case of Spain, 1961-2001. (2003). Esteve, Vicente ; Diaz-Roldan, Carmen ; Bajo-Rubio, Oscar.
    In: Economic Working Papers at Centro de Estudios Andaluces.
    RePEc:cea:doctra:e2003_32.

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  45. Import prices and exchange rate pass-through: theory and evidence from the United Kingdom. (2003). Price, Simon ; Kapetanios, George ; Herzberg, Valerie.
    In: Bank of England working papers.
    RePEc:boe:boeewp:182.

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  46. Substituting a Substitute Currency – The Case of Estonia. (2002). Heimonen, Kari.
    In: International Finance.
    RePEc:wpa:wuwpif:0209003.

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  47. Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach. (2002). Shin, Dong Wan ; Oh, Man-Suk .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:29:y:2002:i:5:p:771-789.

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  48. Nonlinear stochastic trends and economic fluctuations. (2002). Camacho, Maximo.
    In: Computing in Economics and Finance 2002.
    RePEc:sce:scecf2:274.

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  49. The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation. (2002). Thornton, Daniel ; Sarno, Lucio.
    In: Working Papers.
    RePEc:fip:fedlwp:2000-032.

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  50. The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity. (2002). Vahid, Farshid ; Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:450.

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  51. The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity. (2002). Vahid, Farshid ; Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:445.

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  52. Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices.. (2001). Vahid, Farshid ; Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2001-3.

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  53. The non-linear dynamics of output and unemployment in the U.S.. (2001). Violante, Giovanni ; Altissimo, Filippo .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:16:y:2001:i:4:p:461-486.

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  54. The missing link: using the NBER recessions indicator to construct coincident and leading indices of economic activity. (2001). Vahid, Farshid ; Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:429.

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  55. Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?. (2001). Taylor, Mark ; Kilian, Lutz.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3024.

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  56. Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price. (2000). Taylor, Alan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7577.

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  57. Long Memory and Regime Switching. (2000). Inoue, Atsushi ; Diebold, Francis.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0264.

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  58. Mean-Reversion versus PPP Adjustment: The Two Regimes of Exchange Rate Dynamics Under the EMS, 1979-1998. (2000). Bessec, Marie.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1305.

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  59. The Nonlinear Dynamics of Output and Unemployment in the US. (2000). Violante, Giovanni ; Altissimo, Filippo .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2475.

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  60. Impact of Capital Controls and Transaction Costs on the Return Distribution of Dually Traded Securities: Evidence from Chile and Argentina. (2000). Silva, Ana ; Susmel, Raul ; Rabinovitch, Ramon .
    In: CEMA Working Papers: Serie Documentos de Trabajo..
    RePEc:cem:doctra:171.

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  61. Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era. (1999). Caglayan, Mustafa ; Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:404.

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  62. Threshold autoregression with a near unit root. (1998). Hansen, Bruce ; Caner, Mehmet.
    In: Working papers.
    RePEc:att:wimass:199827.

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  63. Measuring Market Integration: A Model of Arbitrage with an Econometric Application to the Gold Standard, 1879-1913. (1997). Taylor, Alan ; Prakash, Gauri.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6073.

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  64. Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckschers Commodity Points Revisited. (1997). Taylor, Alan ; Obstfeld, Maurice.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6053.

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  65. Threshold Autoregressions with a Unit Root. (1997). Hansen, Bruce ; Caner, Mehmet.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:381.

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  66. Modelling Federal Reserve Discount Policy. (1996). Baum, Christopher ; Karasulu, Meral .
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:335.

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