Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures : some new empirical results
Year of publication: |
2021
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Authors: | Nonejad, Nima |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 104.2021, p. 1-29
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Subject: | Bayesian model averaging | Conditional volatility channel | Crude oil spot prices | Dual Kalman filter | News-based uncertainty measures | Point (density) prediction accuracy | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Welt | World | Spotmarkt | Spot market | Risiko | Risk |
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