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The Forecasting Accuracy of Crude Oil Futures Prices

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  • Manmohan S. Kumar

    (International Monetary Fund)

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    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.

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    Bibliographic Info

    Article provided by Palgrave Macmillan in its journal Staff Papers - International Monetary Fund.

    Volume (Year): 39 (1992)
    Issue (Month): 2 (June)
    Pages: 432-461

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    Handle: RePEc:pal:imfstp:v:39:y:1992:i:2:p:432-461

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    Cited by:
    1. Ashima Goyal & Shruti Tripathi, 2012. "Regulations and price discovery: oil spot and futures markets," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-016, Indira Gandhi Institute of Development Research, Mumbai, India.
    2. Adrangi, Bahram & Chatrath, Arjun & Dhanda, Kanwalroop Kathy & Raffiee, Kambiz, 2001. "Chaos in oil prices? Evidence from futures markets," Energy Economics, Elsevier, Elsevier, vol. 23(4), pages 405-425, July.
    3. Aasim M. Husain & Chakriya Bowman, 2004. "Forecasting Commodity Prices," IMF Working Papers, International Monetary Fund 04/41, International Monetary Fund.
    4. Iqbal, Javed, 2001. "Forecasting methods: a comparative analysis," MPRA Paper 23856, University Library of Munich, Germany, revised 2001.
    5. Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
    6. James Daniel, 2001. "Hedging Government Oil Price Risk," IMF Working Papers, International Monetary Fund 01/185, International Monetary Fund.

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