A semiparametric approach to short-term oil price forecasting

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Energy markets volatility modelling using GARCH (2014, methodology): “The 1990’s and early 2000’s saw several empirical studies using univariate GARCH models with energy data – the most notable include Morana (2001) and Lin and Tamvakis (2001).”
Determinants of Agricultural and Mineral Commodity Prices (2010, background): “Similarly, Morana (2001) finds that forward rates for oil actually point in the wrong direction more often than not.”
Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011, methodology): “2 between price and volatility, is found to provide superior forecasting results for crude oil price changes (Morana 2001).2 To fully capture the stylized facts of oil price dynamics, we adopt a stochastic volatility with Merton jump in return (SVMJ) model.”