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electrification of global economies. However, their markets are characterized by high price volatility due to supply concentration …, low substitutability, and limited price elasticity. This paper provides a comprehensive analysis of the price volatility … visualization methods, we identify key features for accurate point and density forecasts. We evaluate various volatility models …
Persistent link: https://www.econbiz.de/10015190309
accuracy is assessed through in-sample forecast evaluation across various data sub-samples. This paper also discusses how these …
Persistent link: https://www.econbiz.de/10015053640
, while the ECM implies symmetric price transmission from crude oil to gasoline. We quantify the forecast accuracy gains due …
Persistent link: https://www.econbiz.de/10010251557
distribution by asking whether ethanol returns can be used to forecast different parts of field crops returns distribution, or vice … Squares. Forecast evaluation relies on quantile-weighed scoring rules, which identify regions of the distribution of interest … by using field crops returns. On the contrary, there is no evidence that ethanol can be used to forecast any region of …
Persistent link: https://www.econbiz.de/10009737363
. Additionally, an analysis of intra-period forecasts, reveals a slight trend towards increased forecast accuracy as the daily …
Persistent link: https://www.econbiz.de/10011883796
This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …
Persistent link: https://www.econbiz.de/10014252427
frequently participate in the survey manage to significantly outperform the random-walk forecast. For the central bank's policy … rate, the market participants typically have a statistically significant higher forecast accuracy than the random …-walk forecast at the three-month horizon; however, at the two- and five-year horizons, the random-walk forecast typically outperform …
Persistent link: https://www.econbiz.de/10013493010
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...
Persistent link: https://www.econbiz.de/10010189497
Inflation Expectations survey perform relative to the random-walk forecast when it comes to predicting five financial variables …-walk forecast for the repo rate and Prague Interbank Offered Rate at the onemonth forecasting horizon. For the five-year and ten … horizons. For the CZE/EUR exchange rate, no statistically significant differences in forecast precision were found. …
Persistent link: https://www.econbiz.de/10013469611
static forecasts, as well as different measures of forecast errors. Finally, we propose a new class of models which combine …
Persistent link: https://www.econbiz.de/10009382869