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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.

Author: Knetsch, Thomas A.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2007
Commodity & service prices, Prices, PETROLEUM AND COAL PRODUCTS, Petroleum, Petroleum and Coal Products Manufacturing, Petroleum & Energy Products, Prices and rates, Company pricing policy, Commodity markets, Report

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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.

Author: Chow, William W.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2004
Hong Kong, Bayesian statistical decision theory, Bayesian analysis

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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.

Author: Funke, Michael, Bandholz, Harm
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2003
Economic indicators

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Subjects list: Methods, Models, Germany, Business forecasting
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