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Speculative behaviour and oil price predictability

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)

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. (Contact us about this Publication)
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: Faculties > Social Sciences > Kent Business School
Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Ekaterini Panopoulou
Date Deposited: 23 Sep 2015 18:39 UTC
Last Modified: 29 May 2019 16:02 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/50603 (The current URI for this page, for reference purposes)
Panopoulou, Ekaterini: https://orcid.org/0000-0001-5080-9965
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