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Modelling and forecasting oil prices: The role of asymmetric cycles
Crespo Cuaresma, Jesus; Jumah, Adusei; Karbuz, Sohbet - 2007
We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved …
Persistent link: https://www.econbiz.de/10010293428
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Oil price forecasting under asymmetric loss
Pierdzioch, Christian; Rülke, Jan-Christoph; … - 2012
Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125), we found that the loss function of a sample of oil price forecasters is asymmetric in the forecast error. Our findings indicate that the loss oil price forecasters incurred when their forecasts exceeded the price...
Persistent link: https://www.econbiz.de/10010308142
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Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting
Manera, Matteo; Longo, Chiara; Markandya, Anil; Scarpa, … - 2007
different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic … literature. Some are based on financial theory and concentrate on the relationship between spot and futures prices ("financial …). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should …
Persistent link: https://www.econbiz.de/10010312337
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Crude oil prices and the euro-dollar exchange rate: A forecasting exercise
Crespo Cuaresma, Jesus; Breitenfellner, Andreas - 2008
If oil exporters stabilize the purchasing power of their export revenues in terms of imports, exchange rate developments (and particularly, developments in the US dollar/euro exchange rate) may contain information about oil price changes. This hypothesis depends on three conditions: (a) OPEC has...
Persistent link: https://www.econbiz.de/10010293389
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Risk-adjusted forecasts of oil prices
Pagano, Patrizio; Pisani, Massimiliano - 2009
This paper documents the existence of a significant forecast error on crude oil futures. We interpret it as a risk premium, which, in part, could have been explained by means of a real-time US business cycle indicator, such as the degree of capacity utilization in manufacturing. This result is...
Persistent link: https://www.econbiz.de/10011605045
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Should one follow movements in the oil price or in money supply? Forecasting quarterly GDP growth in Russia with higher-frequency indicators
Mikosch, Heiner; Solanko, Laura - 2018
GDP forecasters face tough choices over which leading indicators to follow and which forecasting models to use. To help …
Persistent link: https://www.econbiz.de/10011969268
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Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: Test based on EUR/HUF option-implied densities
Csávás, Csaba - 2008
rejection of forecasting ability. Our interpretation is that the standard deviation, the skewness and the kurtosis of the risk …
Persistent link: https://www.econbiz.de/10010322462
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Unterschiedliche Markteinschätzungen von Spekulanten als Determinante des Rohölpreises
Möbert, Jochen - 2009
Bis zum Amtsantritt von Gary Gensler ging die US Commodity Futures Trading Commission von einem geringen Einfluss der Spekulanten auf den Rohölpreis aus, während nun eine Neubewertung stattfindet.Dieser Artikel misst die Aktivität der Spekulanten mit Hilfe von Variablen der wöchentlichen...
Persistent link: https://www.econbiz.de/10010302112
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Do speculators drive crude oil prices? Dispersion in beliefs as a price determinant
Möbert, Jochen - 2009
This article discusses the influence of speculators in the futures market on crude oil prices. The results suggest the dispersion in beliefs influences both crude oil prices and price volatility.
Persistent link: https://www.econbiz.de/10010302113
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A Fear Index to Predict Oil Futures Returns
Chevallier, Julien; Sévi, Benoît - 2013
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...
Persistent link: https://www.econbiz.de/10010328680