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| Bastianin, Andrea; Manera, Matteo; Markandya, Anil; Scarpa, Elisa. |
| The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several alternative econometric specifications proposed in the literature to capture the dynamics of oil prices. Second, we analyse the effects of different data frequencies on the coefficient estimates and forecasts obtained using each selected econometric specification. Third, we compare different models at different data frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static forecasts, as well as... |
| Tipo: Working Paper |
Palavras-chave: Oil Price; WTI Spot and Futures Prices; Forecasting; Econometric Models; Research and Development/Tech Change/Emerging Technologies; C52; C53; Q32; Q43. |
| Ano: 2011 |
URL: http://purl.umn.edu/120042 |
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| Bastianin, Andrea. |
| In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the marginals? (ii) are there nonnormalities in the dependence structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform better than simple models? As for questions (i) and (ii) I have shown that the data do deviate from the null of normality at the univariate, as well as at the multivariate level. When considering the dependence structure of the data I have found that asymmetries show up in their... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Copula functions; Forecasting; Value-At-Risk; Risk and Uncertainty; C32; C52; C53; G17; Q43. |
| Ano: 2009 |
URL: http://purl.umn.edu/50452 |
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