Forecasting oil prices: New approaches
| Autor: | Rennan Kertlly de Medeiros, Vinicius Phillipe de Albuquerquemello, Cássio da Nóbrega Besarria, Diego Pitta de Jesus |
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| Rok vydání: | 2022 |
| Předmět: |
Index (economics)
Oil market Mean squared error Mechanical Engineering Energy information Building and Construction Pollution Industrial and Manufacturing Engineering Variable (computer science) Econometric model General Energy Econometrics Electrical and Electronic Engineering Oil price Civil and Structural Engineering Mixed-data sampling Mathematics |
| Zdroj: | Energy. 238:121968 |
| ISSN: | 0360-5442 |
| DOI: | 10.1016/j.energy.2021.121968 |
| Popis: | This paper proposes alternative methodologies for oil price forecasting using mixed-frequency data and a textual sentiment indicator. The latter variable was extracted from oil market reports issued by the Energy Information Administration. We used the root mean square error (RMSE) to evaluate the forecasting accuracy of the econometric models. Compared with other econometric models, the mixed data sampling (MIDAS) model with high-frequency financial indicators and the sentiment index as explanatory variables performs better for forecasting crude oil prices. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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