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Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?

Citations

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Cited by:

  1. Jan Prüser, 2019. "Adaptive learning from model space," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(1), pages 29-38, January.
  2. Bedoui, Rihab & Braiek, Sana & Guesmi, Khaled & Chevallier, Julien, 2019. "On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model," Energy Economics, Elsevier, vol. 80(C), pages 876-889.
  3. Zhao, Yang & Li, Jianping & Yu, Lean, 2017. "A deep learning ensemble approach for crude oil price forecasting," Energy Economics, Elsevier, vol. 66(C), pages 9-16.
  4. Li, Mingchen & Cheng, Zishu & Lin, Wencan & Wei, Yunjie & Wang, Shouyang, 2023. "What can be learned from the historical trend of crude oil prices? An ensemble approach for crude oil price forecasting," Energy Economics, Elsevier, vol. 123(C).
  5. Wang, Yudong & Hao, Xianfeng, 2022. "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, vol. 116(C).
  6. Li, Jingjing & Tang, Ling & Wang, Shouyang, 2020. "Forecasting crude oil price with multilingual search engine data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
  7. Zhang, Yue-Jun & Wang, Jin-Li, 2019. "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models," Energy Economics, Elsevier, vol. 78(C), pages 192-201.
  8. Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
  9. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
  10. Ding, Hui & Huang, Yisu & Wang, Jiqian, 2023. "Have the predictability of oil changed during the COVID-19 pandemic: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
  11. Ikhlaas Gurrib & Qian Long Kweh & Davide Contu & Firuz Kamalov, 2021. "COVID-19, Short-selling Ban and Energy Stock Prices," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 1(1), pages 1-4.
  12. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
  13. Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2021. "Common factors and the dynamics of industrial metal prices. A forecasting perspective," Resources Policy, Elsevier, vol. 74(C).
  14. Marfatia, Hardik A. & Gupta, Rangan & Cakan, Esin, 2021. "Dynamic impact of the U.S. monetary policy on oil market returns and volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 159-169.
  15. Xuluo Yin & Jiangang Peng & Tian Tang, 2018. "Improving the Forecasting Accuracy of Crude Oil Prices," Sustainability, MDPI, vol. 10(2), pages 1-9, February.
  16. Safari, Ali & Davallou, Maryam, 2018. "Oil price forecasting using a hybrid model," Energy, Elsevier, vol. 148(C), pages 49-58.
  17. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
  18. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
  19. Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  20. Hao, Xianfeng & Zhao, Yuyang & Wang, Yudong, 2020. "Forecasting the real prices of crude oil using robust regression models with regularization constraints," Energy Economics, Elsevier, vol. 86(C).
  21. Guo, Jingjun & Zhao, Zhengling & Sun, Jingyun & Sun, Shaolong, 2022. "Multi-perspective crude oil price forecasting with a new decomposition-ensemble framework," Resources Policy, Elsevier, vol. 77(C).
  22. Krüger, Jens & Ruths Sion, Sebastian, 2019. "Improving oil price forecasts by sparse VAR methods," Darmstadt Discussion Papers in Economics 237, Darmstadt University of Technology, Department of Law and Economics.
  23. Krzysztof Drachal, 2022. "Forecasting the Crude Oil Spot Price with Bayesian Symbolic Regression," Energies, MDPI, vol. 16(1), pages 1-29, December.
  24. Chai, Jian & Xing, Li-Min & Zhou, Xiao-Yang & Zhang, Zhe George & Li, Jie-Xun, 2018. "Forecasting the WTI crude oil price by a hybrid-refined method," Energy Economics, Elsevier, vol. 71(C), pages 114-127.
  25. Krzysztof Drachal, 2019. "Analysis of Agricultural Commodities Prices with New Bayesian Model Combination Schemes," Sustainability, MDPI, vol. 11(19), pages 1-23, September.
  26. Drachal, Krzysztof, 2021. "Forecasting crude oil real prices with averaging time-varying VAR models," Resources Policy, Elsevier, vol. 74(C).
  27. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
  28. Robert A. Hill & Paulo M. M. Rodrigues, 2022. "Forgetting approaches to improve forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1356-1371, November.
  29. Theo Notteboom & Thanos Pallis & Jean-Paul Rodrigue, 2021. "Disruptions and resilience in global container shipping and ports: the COVID-19 pandemic versus the 2008–2009 financial crisis," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 23(2), pages 179-210, June.
  30. Dong, Xiyong & Yoon, Seong-Min, 2019. "What global economic factors drive emerging Asian stock market returns? Evidence from a dynamic model averaging approach," Economic Modelling, Elsevier, vol. 77(C), pages 204-215.
  31. Massimo Guidolin & Manuela Pedio, 2022. "Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns," Forecasting, MDPI, vol. 4(1), pages 1-32, February.
  32. Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018. "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, vol. 70(C), pages 472-483.
  33. Jiaying Peng & Zhenghui Li & Benjamin M. Drakeford, 2020. "Dynamic Characteristics of Crude Oil Price Fluctuation—From the Perspective of Crude Oil Price Influence Mechanism," Energies, MDPI, vol. 13(17), pages 1-19, August.
  34. Cristiana Tudor & Andrei Anghel, 2021. "The Financialization of Crude Oil Markets and Its Impact on Market Efficiency: Evidence from the Predictive Ability and Performance of Technical Trading Strategies," Energies, MDPI, vol. 14(15), pages 1-19, July.
  35. Wang, Tiantian & Qu, Wan & Zhang, Dayong & Ji, Qiang & Wu, Fei, 2022. "Time-varying determinants of China's liquefied natural gas import price: A dynamic model averaging approach," Energy, Elsevier, vol. 259(C).
  36. Linlin Zhao & Jasper Mbachu & Zhansheng Liu, 2019. "Exploring the Trend of New Zealand Housing Prices to Support Sustainable Development," Sustainability, MDPI, vol. 11(9), pages 1-18, April.
  37. Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
  38. Dong, Xiyong & Song, Li & Yoon, Seong-Min, 2021. "How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  39. Wei, Yu & Liu, Jing & Lai, Xiaodong & Hu, Yang, 2017. "Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?," Energy Economics, Elsevier, vol. 68(C), pages 141-150.
  40. Michail Filippidis & George Filis & Georgios Magkonis & Panagiotis Tzouvanas, 2023. "Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 807-825, June.
  41. Wang, TianTian & Zhang, Dayong & Clive Broadstock, David, 2019. "Financialization, fundamentals, and the time-varying determinants of US natural gas prices," Energy Economics, Elsevier, vol. 80(C), pages 707-719.
  42. Dong, Xiyong & Yoon, Seong-Min, 2023. "Effect of weather and environmental attentions on financial system risks: Evidence from Chinese high- and low-carbon assets," Energy Economics, Elsevier, vol. 121(C).
  43. Lu, Quanying & Li, Yuze & Chai, Jian & Wang, Shouyang, 2020. "Crude oil price analysis and forecasting: A perspective of “new triangle”," Energy Economics, Elsevier, vol. 87(C).
  44. Lin, Boqiang & Su, Tong, 2021. "Do China's macro-financial factors determine the Shanghai crude oil futures market?," International Review of Financial Analysis, Elsevier, vol. 78(C).
  45. Razmi, Seyedeh Fatemeh & Razmi, Seyed Mohammad Javad, 2023. "The role of stock markets in the US, Europe, and China on oil prices before and after the COVID-19 announcement," Resources Policy, Elsevier, vol. 81(C).
  46. Zhao, Yiran & Gao, Xiangyun & An, Haizhong & Xi, Xian & Sun, Qingru & Jiang, Meihui, 2020. "The effect of the mined cobalt trade dependence Network's structure on trade price," Resources Policy, Elsevier, vol. 65(C).
  47. Manickavasagam, Jeevananthan & Visalakshmi, S. & Apergis, Nicholas, 2020. "A novel hybrid approach to forecast crude oil futures using intraday data," Technological Forecasting and Social Change, Elsevier, vol. 158(C).
  48. Sakar Hasan Hamza & Qingna Li, 2023. "The Dynamics of US Gasoline Demand and Its Prediction: An Extended Dynamic Model Averaging Approach," Energies, MDPI, vol. 16(12), pages 1-13, June.
  49. Oglend, Atle, 2022. "The commodities/equities beta term-structure," Journal of Commodity Markets, Elsevier, vol. 28(C).
  50. Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019. "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 97-117.
  51. He, Mengxi & Zhang, Yaojie & Wen, Danyan & Wang, Yudong, 2021. "Forecasting crude oil prices: A scaled PCA approach," Energy Economics, Elsevier, vol. 97(C).
  52. Ernie Hendrawaty & Rialdi Azhar & Fajrin Satria Dwi Kesumah & Sari Indah Oktanti Sembiring & Mega Metalia, 2021. "Modelling and Forecasting Crude Oil Prices during COVID-19 Pandemic," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 149-154.
  53. Ding, Lili & Zhao, Zhongchao & Wang, Lei, 2022. "Probability density forecasts for natural gas demand in China: Do mixed-frequency dynamic factors matter?," Applied Energy, Elsevier, vol. 312(C).
  54. Zhongxin Ni & Xing Lu & Wenjun Xue, 2021. "Does the belt and road initiative resolve the steel overcapacity in China? Evidence from a dynamic model averaging approach," Empirical Economics, Springer, vol. 61(1), pages 279-307, July.
  55. Krzysztof Drachal, 2018. "Some Novel Bayesian Model Combination Schemes: An Application to Commodities Prices," Sustainability, MDPI, vol. 10(8), pages 1-27, August.
  56. Nima Nonejad, 2020. "A detailed look at crude oil price volatility prediction using macroeconomic variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1119-1141, November.
  57. Zhaojie Luo & Xiaojing Cai & Katsuyuki Tanaka & Tetsuya Takiguchi & Takuji Kinkyo & Shigeyuki Hamori, 2019. "Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks," JRFM, MDPI, vol. 12(1), pages 1-13, January.
  58. Nademi, Arash & Nademi, Younes, 2018. "Forecasting crude oil prices by a semiparametric Markov switching model: OPEC, WTI, and Brent cases," Energy Economics, Elsevier, vol. 74(C), pages 757-766.
  59. Theodosios Perifanis, 2019. "Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods," Energies, MDPI, vol. 12(14), pages 1-16, July.
  60. Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.
  61. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  62. Trabelsi, Nader & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2022. "Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
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