Forecasting the prices of crude oil using the predictor, economic and combined constraints

Yongsheng Yi, Feng Ma, Yaojie Zhang and Dengshi Huang

Economic Modelling, 2018, vol. 75, issue C, 237-245

Abstract: In this article, we investigate the predictive power of single predictors with regard to oil prices, using several constrained approaches that contain predictor-related, parameter-related and combined constraints. Based on these approaches, we obtain several noteworthy findings. First, the predictive power of several predictors can be significantly improved under a predictor-related constraint. Second, the predictive ability of most predictors can be improved using parameter-related constraints, but those improvements are not large. Third, combining the two types of constraints can achieve a remarkably better performance in forecasting oil price returns than an individual strategy both in terms of the number of predictors and the magnitude of improvements. Finally, our findings are robustly supported by the success ratio, alternative forecasting windows, other look-back periods and direct comparisons.

Keywords: Oil price predictability; Predictor-related constraint; Parameter-related constraint; Combined constraint; Out-of-sample forecasts; JEL classification: C53; E37; Q43; Q47 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999318303596
Full text for ScienceDirect subscribers only

Related works:
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:75:y:2018:i:c:p:237-245

DOI: 10.1016/j.econmod.2018.06.020

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 Catherine Liu ().