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Forecasting the Price of Oil
TLDR
In this article, the authors address some of the key questions that arise in forecasting the price of crude oil and evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future demand and supply conditions.Abstract:
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures markets in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future demand and supply conditions? How does one quantify risks associated with oil price forecasts? Can joint forecasts of the price of oil and of U.S. real GDP growth be improved upon by allowing for asymmetries?read more
Citations
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Heterogeneity in the Dynamic Effects of Uncertainty on Investment
Sung Je Byun,Soojin Jo +1 more
TL;DR: This article proposed a parsimonious adaptation of a factor-autoregressive conditional heteroscedasticity model to exploit information in a sub-industry sales panel for an efficient and tractable estimation of aggregate volatility.
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Crude oil price volatility and equity return predictability: A comparative out-of-sample study
TL;DR: In this article, the authors evaluate the predictive power of crude oil price volatility relative to widely used variables in the financial literature, such as the dividend yield, earnings-to-price ratio, the default yield spread as well several crude oil prices based variables.
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Forecasting Crude Oil Market Crashes Using Machine Learning Technologies
Yulian Zhang,Shigeyuki Hamori +1 more
TL;DR: The results indicate that the authors should occasionally discard distant historical data, and that XGBoost outperforms the other employed approaches, achieving a detection rate as high as 86% using the fixed-length moving window for Dataset2.
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The effects of oil price uncertainty on economic activities in South Africa
TL;DR: In this paper, the authors investigated the link between oil price uncertainty shocks and key macroeconomic indicators of a net oil importing country, South Africa, covering the period 1990:01 to 2015.
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On the link between current account and oil price fluctuation in diversified economies: The case of Canada
TL;DR: In this article, the authors revisited the important relationship between oil prices and current account for oil exporting countries by paying particular attention to the time-varying nature of this link.
References
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Time series analysis
TL;DR: A ordered sequence of events or observations having a time component is called as a time series, and some good examples are daily opening and closing stock prices, daily humidity, temperature, pressure, annual gross domestic product of a country and so on.
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Coherent Measures of Risk
TL;DR: In this paper, the authors present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties "coherent", and demonstrate the universality of scenario-based methods for providing coherent measures.
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Comparing Predictive Accuracy
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Impulse response analysis in nonlinear multivariate models
TL;DR: In this paper, the authors present a unified approach to impulse response analysis which can be used for both linear and nonlinear multivariate models and demonstrate the use of these measures for a nonlinear bivariate model of US output and the unemployment rate.
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The Economics of Exhaustible Resources
TL;DR: In this article, a discussion is confined in scope to absolutely irreplaceable assets, including peculiar problems of mineral wealth, free competition, maximum social value and state regulation, monopoly, value of a mine monopoly, retardation of production under monopoly, price effects from cumulated production, and the author's mathematically derived optimum solutions.