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Futures versus univariate forecast of crude oil prices

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  • Salah Abosedra
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    Abstract

    A simple univariate model is employed to generate an unbiased and (weakly) efficient forecast of the crude oil spot price. In terms of predictive information, however, this univariate forecast is inferior to the futures price for one-month-ahead contracts. This observation may suggest that the futures price of crude oil, while unbiased, tends to be semi-strongly efficient. Copyright 2005 Organization of the Petroleum Exporting Countries.

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    Bibliographic Info

    Article provided by Organization of the Petroleum Exporting Countries in its journal OPEC Review.

    Volume (Year): 29 (2005)
    Issue (Month): 4 (December)
    Pages: 231-241

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    Handle: RePEc:bla:opecrv:v:29:y:2005:i:4:p:231-241

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    Web page: http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291753-0237

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    Cited by:
    1. repec:wyi:wpaper:002040 is not listed on IDEAS
    2. Giliola Frey & Matteo Manera & Anil Markandya & Elisa Scarpa, 2009. "Econometric Models for Oil Price Forecasting: A Critical Survey," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, vol. 10(1), pages 29-44, 04.
    3. Matteo Manera & Chiara Longo & Anil Markandya & Elisa Scarpa, 2007. "Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting," Working Papers 2007.4, Fondazione Eni Enrico Mattei.
    4. Georges Prat & Remzi Uctum, 2009. "Modelling oil price expectations: evidence from survey data," EconomiX Working Papers 2009-28, University of Paris West - Nanterre la Défense, EconomiX.
    5. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, vol. 30(C), pages 233-247.
    6. Juan Carlos Cuestas & Paulo Jose Regis, 2008. "Nonlinearities and the order of integration of oil prices," Working Papers 2008/15, Nottingham Trent University, Nottingham Business School, Economics Division.

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