Mirmirani, Sam; Cheng Li, Hsi - In: Applications of artificial intelligence in finance and …, (pp. 203-223). 2004
This study applies VAR and ANN techniques to make ex-post forecast of U.S. oil price movements. The VAR-based forecast uses three endogenous variables: lagged oil price, lagged oil supply and lagged energy consumption. However, the VAR model suggests that the impacts of oil supply and energy...