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The substantial fluctuations in oil prices in the wake of the COVID-19 pandemic and the Russian invasion of Ukraine have highlighted the importance of tail events in the global market for crude oil which call for careful risk assessment. In this paper we focus on forecasting tail risks in the...
Persistent link: https://www.econbiz.de/10014544801
the West Texas Intermediate oil price) and 28% (for the Dubai oil price). Moreover, we find that the directional forecast …
Persistent link: https://www.econbiz.de/10013035180
Previous studies document statistically significant evidence of crude oil return predictability by several forecasting variables. We suggest that this evidence is misleading and follows from the common use of within-month averages of daily oil prices in calculating returns used in predictive...
Persistent link: https://www.econbiz.de/10013227125
distribution by asking whether ethanol returns can be used to forecast different parts of field crops returns distribution, or vice … Squares. Forecast evaluation relies on quantile-weighed scoring rules, which identify regions of the distribution of interest … by using field crops returns. On the contrary, there is no evidence that ethanol can be used to forecast any region of …
Persistent link: https://www.econbiz.de/10014159279
distribution by asking whether ethanol returns can be used to forecast different parts of field crops returns distribution, or vice … Squares. Forecast evaluation relies on quantile-weighed scoring rules, which identify regions of the distribution of interest … by using field crops returns. On the contrary, there is no evidence that ethanol can be used to forecast any region of …
Persistent link: https://www.econbiz.de/10014159506
distribution by asking whether ethanol returns can be used to forecast different parts of field crops returns distribution, or vice … Squares. Forecast evaluation relies on quantile-weighed scoring rules, which identify regions of the distribution of interest … by using field crops returns. On the contrary, there is no evidence that ethanol can be used to forecast any region of …
Persistent link: https://www.econbiz.de/10014159605
This research uses annual time series data on CO2 emissions in India from 1960 to 2017, to model and forecast CO2 using …
Persistent link: https://www.econbiz.de/10014107716
Internet search activity data has been widely used as an instrument to approximate trader attention in different markets. This method has proven effective in predicting market indices in the short-term. However, little attention has been paid to comparing various search keywords and finding the...
Persistent link: https://www.econbiz.de/10012967791
of spikes, the focus of this contribution is on the robust estimation of nonlinear SETARX models (Self-Exciting Threshold … robust estimation of SETARX processes contributes to the improvement of the forecasting ability of the model …
Persistent link: https://www.econbiz.de/10012910812
In this study, we present an empirical comparison of statistical models and machine learning models for daily electricity price forecasting in the New Zealand electricity market. We demonstrate the effectiveness of GARCH and SV models and their t-distribution variants when paired with feature...
Persistent link: https://www.econbiz.de/10014354158