Showing 1 - 10 of 9,133
gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures markets … price forecast to alternative assumptions about future demand and supply conditions? How does one quantify risks associated …
Persistent link: https://www.econbiz.de/10010280003
This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …
Persistent link: https://www.econbiz.de/10010276222
horizon. In this paper, the efficiency gains from the joint estimation of forecast uncertainty for all horizons in such …Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of … recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast …
Persistent link: https://www.econbiz.de/10010299256
Electricity price forecasting has become an area of increasing relevance in recent years. Despite the growing interest in predictive algorithms, the challenges are difficult to overcome given the restricted access to relevant data series and the lack of accurate metrics. Multiple models have...
Persistent link: https://www.econbiz.de/10014463423
In many countries worldwide, investment in renewable technologies has been accelerated by the introduction of fixed feed-in tariffs for electricity from renewable energy sources (RES). While fixed tariffs accomplish this purpose, they lack incentives to align the RES production with price...
Persistent link: https://www.econbiz.de/10010312749
The investment decision on the placement of wind turbines is, neglecting legal formalities, mainly driven by the aim to maximize the expected annual energy production of single turbines. The result is a concentration of wind farms at locations with high average wind speed. While this strategy...
Persistent link: https://www.econbiz.de/10010312756
We analyze the relationship between the prices of ethanol, agricultural commodities and livestock in Nebraska, the U.S. second largest ethanol producer. The paper focuses on long-run relations and Granger causality linkages between ethanol and the other commodities. The analysis takes possible...
Persistent link: https://www.econbiz.de/10010294304
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/10010294308
care is required in order to achieve these forecast improvements. Rich multivariate models are needed to exploit the …, shrinkage and forecast combinations. …
Persistent link: https://www.econbiz.de/10010326529
, while the ECM implies symmetric price transmission from crude oil to gasoline. We quantify the forecast accuracy gains due …
Persistent link: https://www.econbiz.de/10010398437