This FEEM paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities.
Étiqueté : forecasting
Worldwide crude oil consumption will increase by 1.3 million b/d this year and by 1.5 million b/d in 2013, with the higher demand met by increased production both from the Organization of Petroleum Exporting Countries and from non-OPEC producers, the US Energy Information Administration said in its latest Short-Term Energy Outlook… (info source and copyright Oil & Gas Journal)
A FEEM working paper, written by Andrea Bastianin, Matteo Manera, Anil Markandya and Elisa Scarpa
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates?…