Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures : some new empirical results
Nima Nonejad
| Year of publication: |
2021
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| Authors: | Nonejad, Nima |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 104.2021, p. 1-29
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| Subject: | Bayesian model averaging | Conditional volatility channel | Crude oil spot prices | Dual Kalman filter | News-based uncertainty measures | Point (density) prediction accuracy | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Ölpreis | Oil price | Schätzung | Estimation | Ölmarkt | Oil market | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Zustandsraummodell | State space model | Spotmarkt | Spot market | Welt | World | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2021.105635 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013364254