We augment the HAR model with additional information channels to forecast realized volatility of WTI futures prices. These channels include stock markets, sentiment indices, commodity and FX markets, and text-based Google indices. We then apply four differing machine learning techniques to...

The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive...

Our paper inspects empirically the asymmetric impact of daily oil price shocks on the quarterly real domestic product in eight countries during the period (1983-2016). We employ two methodologies OLS and AMIDAS. The OLS technique shows that the positive oil price shocks have a statistically...

This paper proposes an empirical investigation of the impact of oil price forecast errors on inflation forecast errors for two different sets of recent forecasts data: the median of SPF inflation forecasts for the U.S. and the Central Bank inflation forecasts for France. Mainly two salient...

This study explores the impact of oil sector on global competitiveness of the GCC states in a panel data framework for the period from 2006 to 2014. The focus is placed on how the non-traditional factors; oil rents, fuel exports as percentage of merchandise exports, oil prices, and mining sector...

This study explores the impact of oil sector on global competitiveness of the GCC states in a panel data framework for the period from 2006 to 2014. The focus is placed on how the non-traditional factors; oil rents, fuel exports as percentage of merchandise exports, oil prices, and mining sector...

We analyze the global relationship between oil prices, commodity-specific financial marketshocks and economic activity by means of Structural Vector Autoregressive (SVAR) models for the period 1996 - 2015. For the financial market variables in our model, we use a breakdown of G-20 countries into...

The price of oil has risen by about 60% since mid-2004 and by more than 40% since the beginning of 2005. Though the U.S. economy has apparently absorbed this supply shock well so far, the path of future oil prices remains a concern for monetary policymakers. Higher oil prices can damp demand, as...

This paper explores a range of different forecast methods for Brent oil prices and analyses their performance relative to oil futures and the random walk over the period 1995Q1 - 2015Q2, including periods of stable, upwardly trending and rapidly dropping oil prices. None of the individual...

This study investigates changes in the relationship between oil prices and the US economy from a long-term perspective. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different volatility periods in both of them, separately....