Oil price forecastability and economic uncertainty
License
Access Rights
Cadmus Permanent Link
Full-text via DOI
ISBN
ISSN
0165-1765; 1873-7374
Issue Date
Type of Publication
Keyword(s)
LC Subject Heading
Other Topic(s)
EUI Research Cluster(s)
Initial version
Published version
Succeeding version
Preceding version
Published version part
Earlier different version
Initial format
Citation
Economics letters, 2015, Vol. 132, pp. 125–128
Cite
BEKIROS, Stelios D., GUPTA, Rangan, PACCAGNINI, Alessia, Oil price forecastability and economic uncertainty, Economics letters, 2015, Vol. 132, pp. 125–128 - https://hdl.handle.net/1814/38368
Abstract
Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1–2014:2.
Table of Contents
Additional Information
Published online: 7 May 2015