Title:Oil price forecastability and economic uncertainty Author(s):BEKIROS, Stelios D.; GUPTA, Rangan; PACCAGNINI, AlessiaDate:2015Citation:
- Economics letters, 2015, Vol. 132, pp. 125–128
Type:ArticleAbstract: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 ...