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Forecasting the oil-gasoline price relationship : should we care about the rockets and the feathers?
Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2014
the price of crude oil to the price of gasoline is asymmetric. Although there have been many contributions documenting … forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this …, 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/10010251557
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Forecasting the Oil-Gasoline Price Relationship : Should We Care About the Rockets and the Feathers?
Bastianin, Andrea - 2014
the price of crude oil to the price of gasoline is asymmetric. Although there have been many contributions documenting … forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this …, 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/10013057267
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Forecasting the Oil-Gasoline Price Relationship : Should We Care About the Rockets and the Feathers?
Bastianin, Andrea - 2014
the price of crude oil to the price of gasoline is asymmetric. Although there have been many contributions documenting … forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this …, 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/10013057534
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Forecasting the Oil‐Gasoline Price Relationship : Should We Care About the Rockets and the Feathers?
Bastianin, Andrea - 2014
the price of crude oil to the price of gasoline is asymmetric. Although there have been many contributions documenting … forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this …, 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/10013057750
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Volatility predictability in crude oil futures : evidence based on OVX, GARCH and stochastic volatility models
Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - In: Energy strategy reviews 50 (2023), pp. 1-12
The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe and WTI in America are compared. OVX index is...
Persistent link: https://www.econbiz.de/10014574074
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Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015
We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...
Persistent link: https://www.econbiz.de/10011431503
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Forecasting the Real Price of Oil Using Online Search Data
Fantazzini, Dean - 2014
New models to forecast the real price of oil on the basis of macroeconomic indicators and Google search data are proposed. A large-scale out-of-sample forecasting analysis comparing the different models is performed. It is found that models including both Google data and macroeconomic aggregates...
Persistent link: https://www.econbiz.de/10013055642
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Forecasting the Real Price of Oil : A Cautionary Note
Conlon, Thomas; Cotter, John; Eyiah-Donkor, Emmanuel - 2022
We study the out-of-sample predictability of the real price of crude oil using forecast combinations constructed from several individual predictors. We find that forecasts of themonthly average price of oil are more accurate than the no-change forecast at horizons ranging from 1 to 24 months...
Persistent link: https://www.econbiz.de/10013302008
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Forecasting Oil Prices With Penalized Regressions, Variance Risk Premia and Google Data
Lycheva, Maria; Mironenkov, Alexey; Kurbatskii, Alexey; … - 2023
This paper investigates whether augmenting models with the variance risk premium (VRP) and Google search data improves the quality of the forecasts for real oil prices. We considered a time sample of monthly data from 2007 to 2019 that includes several episodes of high volatility in the oil...
Persistent link: https://www.econbiz.de/10014349277
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The Illusion of Oil Return Predictability : The Choice of Data Matters!
Conlon, Thomas; Cotter, John; Eyiah-Donkor, Emmanuel - 2021
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