Forecasting the term structure of crude oil futures prices with neural networks
The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework based on neural networks. The newly proposed framework is empirically tested on 24 years of crude oil futures prices covering several important recessions and crisis periods. We find 1-month, 3-month, 6-month and 12-month-ahead forecasts obtained from focused time-delay neural network to be significantly more accurate than forecasts from other benchmark models. The proposed forecasting strategy produces the lowest errors across all times to maturity.
Year of publication: |
2015-04
|
---|---|
Authors: | Barunik, Jozef ; Malinska, Barbora |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Volatility term structure modeling using Nelson-Siegel model
Malinska, Barbora, (2018)
-
Volatility term structure modeling using Nelson-Siegel model
Malinska, Barbora, (2018)
-
Understanding the source of multifractality in financial markets
Barunik, Jozef, (2012)
- More ...