Oil price forecastability and economic uncertainty
Economics letters, 2015, Vol. 132, pp. 125–128
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
Retrieved from Cadmus, EUI Research Repository
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.
Published online: 7 May 2015
Cadmus permanent link: https://hdl.handle.net/1814/38368
Full-text via DOI: 10.1016/j.econlet.2015.04.023
ISSN: 0165-1765; 1873-7374
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