Advanced Search
MyIDEAS: Login

A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models

Contents:

Author Info

  • Xu, Bing
  • Ouenniche, Jamal
Registered author(s):

Abstract

Forecasts of crude oil prices' volatility are important inputs to many decision making processes in application areas such as macroeconomic policy making, risk management, options pricing, and portfolio management. Despite the fact that a large number of forecasting models have been designed to forecast crude oil prices' volatility, so far the relative performance evaluation of competing forecasting models remains an exercise that is unidimensional in nature. To be more specific, most studies tend to use several criteria and their measures to assess the relative performance of these models, but competing models are always ranked by performance measure; thus, leading in general to different rankings for different criteria and to a situation where one cannot make an informed decision as to which model performs best with respect to all criteria under consideration. The purpose of this paper is to propose a single ranking that takes account of several criteria using a Data Envelopment Analysis framework. Our empirical results reveal that the unidimensional rankings for different criteria might differ significantly and that the multidimensional ranking of some models could be substantially different from their unidimensional rankings, which highlights the importance of the proposed performance evaluation tool.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/pii/S0140988311003008
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 34 (2012)
Issue (Month): 2 ()
Pages: 576-583

as in new window
Handle: RePEc:eee:eneeco:v:34:y:2012:i:2:p:576-583

Contact details of provider:
Web page: http://www.elsevier.com/locate/eneco

Related research

Keywords: Forecasting; Performance criteria; Performance evaluation; Volatility; GARCH; Data Envelopment Analysis (DEA);

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:34:y:2012:i:2:p:576-583

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.