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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19642| Title: | Forecasting the price of crude oil via convenience yield predictions |
| Keywords: | C22 Q40 G13 G12 E37 ddc:330 oil price forecasts rational commodity pricing convenience yield single-equation model Erdölpreis Prognoseverfahren Rohstoff-Futures Abzinsung Schätzung Theorie Welt |
| Issue Date: | 16-Oct-2013 |
| Description: | The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive out-of-sample analysis, forecast accuracy at horizons within one year is checked by the root mean squared error as well as the mean error and the frequency of a correct direction-of-change prediction. For all criteria employed, the proposed forecasting tool outperforms the approach of using futures prices as direct predictors of future spot prices. Vis-à-vis the random-walk model, it does not significantly improve forecast accuracy but provides valuable statements on the direction of change. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19642 |
| Other Identifiers: | http://hdl.handle.net/10419/19642 ppn:511413270 RePEc:zbw:bubdp1:4353 |
| Appears in Collections: | EconStor |
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