Analyzing the dynamics between crude oil spot prices and futures prices by maturity terms: Deep learning approaches to futures-based forecasting

被引：0
|
作者：
Lee, Jeonghoe [1 ]
Xia, Bingjiang [1 ]
机构：
[1] Columbia University, Department of Statistics, New York,NY, United States
来源：
Results in Engineering | 2024年 / 24卷
关键词：
28;
D O I：
10.1016/j.rineng.2024.103086
中图分类号：
学科分类号：
摘要：
引用
收藏
相关论文
共 50 条
  • [1] Accuracy analysis of forecasting crude oil spot prices using futures prices
    Cheng, Gang
    Zhang, Xun
    Wang, Shou-Yang
    [J]. Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2009, 29 (08): : 11 - 18
  • [2] Persistence in crude oil spot and futures prices
    Ozdemir, Zeynel Abidin
    Gokmenoglu, Korhan
    Ekinci, Cagdas
    [J]. ENERGY, 2013, 59 : 29 - 37
  • [3] Forecasting nonlinear crude oil futures prices
    Moshiri, Saeed
    Foroutan, Faezeh
    [J]. ENERGY JOURNAL, 2006, 27 (04): : 81 - 95
  • [4] Forecasting realized volatility of crude oil futures prices based on machine learning
    Luo, Jiawen
    Klein, Tony
    Walther, Thomas
    Ji, Qiang
    [J]. JOURNAL OF FORECASTING, 2024, 43 (05) : 1422 - 1446
  • [5] Are crude oil spot and futures prices cointegrated? Not always!
    Wang, Yudong
    Wu, Chongfeng
    [J]. ECONOMIC MODELLING, 2013, 33 : 641 - 650
  • [6] THE FORECASTING ACCURACY OF CRUDE-OIL FUTURES PRICES
    KUMAR, MS
    [J]. INTERNATIONAL MONETARY FUND STAFF PAPERS, 1992, 39 (02): : 432 - 461
  • [7] Futures Prices are Useful Predictors of the Spot Price of Crude Oil
    Ellwanger, Reinhard
    Snudden, Stephen
    [J]. ENERGY JOURNAL, 2023, 44 (04): : 65 - 82
  • [8] Unit root properties of crude oil spot and futures prices
    Maslyuk, Svetlana
    Smyth, Russell
    [J]. ENERGY POLICY, 2008, 36 (07) : 2591 - 2600
  • [9] The relationship between spot and futures prices: Evidence from the crude oil market
    Silvapulle, P
    Moosa, IA
    [J]. JOURNAL OF FUTURES MARKETS, 1999, 19 (02) : 175 - 193
  • [10] The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach
    Huang, Bwo-Nung
    Yang, C. W.
    Hwang, M. J.
    [J]. ENERGY ECONOMICS, 2009, 31 (01) : 91 - 98
12345