The Forecasting Accuracy of Crude Oil Futures Prices

Manmohan S. Kumar
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Manmohan S. Kumar: International Monetary Fund

IMF Staff Papers, 1992, vol. 39, issue 2, 432-461

Abstract: The efficiency of the crude oil futures market and the forecasting accuracy of futures prices are investigated. The accuracy of forecasts using futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models and judgmental forecasts. The predictive power of futures prices is further explored by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using different weighting schemes. Finally, the paper investigates whether forecasts using futures prices can be improved by incorporating information from other forecasting techniques.

JEL-codes: A10 C22 C52 E37 (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (8)

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