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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

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Abstract

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: Monograph (Working paper)
Uncontrolled keywords: Oil price; Regime Switching; Forecasting; Deviations from fundamentals
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School
Depositing User: Ekaterini Panopoulou
Date Deposited: 09 Nov 2014 17:23 UTC
Last Modified: 29 May 2019 13:24 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/44193 (The current URI for this page, for reference purposes)
Panopoulou, Ekaterini: https://orcid.org/0000-0001-5080-9965

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