Panopoulou, Ekaterini, Pantelidis, Theologos (2015) Speculative behaviour and oil price predictability. Economic Modelling, 47 . pp. 128-136. ISSN 0264-9993. (doi:10.1016/j.econmod.2015.02.019) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:50603)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| Official URL: http://doi.org/10.1016/j.econmod.2015.02.019 |
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: | Article |
|---|---|
| DOI/Identification number: | 10.1016/j.econmod.2015.02.019 |
| 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: | 23 Sep 2015 18:39 UTC |
| Last Modified: | 17 Aug 2022 10:59 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/50603 (The current URI for this page, for reference purposes) |
University of Kent Author Information
Panopoulou, Ekaterini.
| Creator's ORCID: |
 https://orcid.org/0000-0001-5080-9965
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|---|---|
| CReDIT Contributor Roles: |
Pantelidis, Theologos.
| Creator's ORCID: | |
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| CReDIT Contributor Roles: |
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