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Speculative behaviour and oil price predictability

Panopoulou, Ekaterini and Pantelidis, Theologos (2013) Speculative behaviour and oil price predictability. Working paper. Kent Business School Working Paper 289 (KAR id:44193)

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We develop two- and three-state regime switching models and test their forecasting ability for oil prices. We use the deviations of market oil price from fundamental values as the main explanatory variable in our models, while additional potential predictors enrich our specification. Our findings suggest that the regime-switching models are, in general, more accurate than the Random Walk model in terms of both statistical and economic evaluation criteria for oil price forecasts.

Item Type: Reports and Papers (Working paper)
Uncontrolled keywords: Oil price; Regime Switching; Forecasting; Deviations from fundamentals
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Ekaterini Panopoulou
Date Deposited: 09 Nov 2014 17:23 UTC
Last Modified: 16 Nov 2021 10:17 UTC
Resource URI: (The current URI for this page, for reference purposes)

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University of Kent Author Information

Panopoulou, Ekaterini.

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