On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach

DOI10.1007/s10479-020-03652-2OpenAlexW3034948842MaRDI QIDQ2151655

Sahbi Boubaker, Zied Ftiti, Kais Tissaoui

Publication date: 5 July 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03652-2

zbMATH Keywords

optimizationcausalityoilmachine learninggasnonlinear modeling

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Inference from stochastic processes (62Mxx) Stochastic systems and control (93Exx)

Related Items (3)

Measuring extreme risk dependence between the oil and gas markets ⋮ Nonperforming loan of European islamic banks over the economic cycle ⋮ Understanding the effect of contextual factors and decision making on team performance in Twenty20 cricket: an interpretable machine learning approach

Cites Work

• Unnamed Item
• Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
• A new statistic and practical guidelines for nonparametric Granger causality testing
• Optimal dynamic hedging via copula-threshold-GARCH models
• Identification of Hammerstein-Wiener models
• Long memory and crude oil's price predictability
• Recursive maximum likelihood method for the identification of Hammerstein ARMAX system
• WHAT CENTRAL BANKERS NEED TO KNOW ABOUT FORECASTING OIL PRICES

This page was built for publication: On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach