Predicting crude oil prices: replication of the empirical results in “What do we learn from the price of crude oil?”

Pak, Anton (2017) Predicting crude oil prices: replication of the empirical results in “What do we learn from the price of crude oil?”. Journal of Applied Econometrics, 33 (1). pp. 160-163.

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Abstract

In addition to their theoretical analysis of the joint determination of oil futures prices and oil spot prices, Alquist and Kilian (Journal of Applied Econometrics, 2010, 25(4), 539–573) compare the out‐of‐sample accuracy of the random walk forecast with that of forecasts based on oil futures prices and other predictors. The results of my replication exercise are very similar to the original forecast accuracy results, but the relative accuracy of the random walk forecast and the futures‐based forecast changes when the sample is extended to August 2016, consistent with the results of several other recent studies by Kilian and co‐authors.

Item ID: 60964
Item Type: Article (Research - C1)
ISSN: 1099-1255
Copyright Information: Copyright © 2017 John Wiley & Sons, Ltd.
Date Deposited: 27 Nov 2019 02:45
FoR Codes: 38 ECONOMICS > 3802 Econometrics > 380203 Economic models and forecasting @ 100%
SEO Codes: 91 ECONOMIC FRAMEWORK > 9199 Other Economic Framework > 919999 Economic Framework not elsewhere classified @ 100%
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