A semiparametric approach to short-term oil price forecasting

被引：192
|
作者：
Morana, C [1 ]
机构：
[1] Univ Piemonte Orientale, Fac Econ, I-28100 Novara, Italy
来源：
ENERGY ECONOMICS | 2001年 / 23卷 / 03期
关键词：
GARCH; semiparametric; bootstrap;
D O I：
10.1016/S0140-9883(00)00075-X
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper it is shown how the GARCH properties of oil price changes can be employed to forecast the oil price distribution over short-term horizons. The forecasting methodology is semiparametric and it is based on the bootstrap approach. The results of an out-of-sample forecasting exercise, carried out using the Brent oil price series, suggest that the forecasting approach can be used to obtain a performance measure for the forward price, in addition to compute interval forecasts for the oil price. (C) 2001 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：325 / 338
页数：14
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