EconPapers    
Economics at your fingertips  
 

Speculative behaviour and oil price predictability

Ekaterini Panopoulou () and Theologos Pantelidis ()

Economic Modelling, 2015, vol. 47, issue C, 128-136

Abstract: We develop two- and three-state regime switching models and test their forecasting ability for oil prices. We use the deviations of market oil price from fundamental values as the main explanatory variable in our models, while additional potential predictors enrich our specification. Our findings suggest that the regime-switching models are, in general, more accurate than the Random Walk model in terms of both statistical and economic evaluation criteria for oil price forecasts.

Keywords: Oil price; Regime Switching; Forecasting; Deviations from fundamentals (search for similar items in EconPapers)
JEL-codes: C5 Q4 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S026499931500036X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Speculative behaviour and oil price predictability (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:47:y:2015:i:c:p:128-136

DOI: 10.1016/j.econmod.2015.02.019

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-08-30
Handle: RePEc:eee:ecmode:v:47:y:2015:i:c:p:128-136