Forecasting the price of crude oil via convenience yield predictions
Article Abstract:
An oil price forecasting technique based on rational comodity pricing models is proposed. The proposed method outperforms usage of futures prices in predicting future spot prices. Forecast accuracy is not significantly improved compared to the random-walk model.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2007
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An outlier robust Hierarchical Bayes Model for forecasting: the case of Hong Kong
Article Abstract:
An attempt to robustify the Bayesian vector autoregression is discussed by studying the innovative outliers. A summary of the result of outlier identification is presented.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2004
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In search of leading indicators of economic activity in Germany
Article Abstract:
A dynamic factor model of leading economic indicators in Germany is tested.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2003
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