Oil price forecastability and economic uncertainty
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|Title:||Oil price forecastability and economic uncertainty||Authors:||Bekiros, Stelios D.
|Permanent link:||http://hdl.handle.net/10197/7345||Date:||Jul-2015||Abstract:||Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1–2014:2.||Type of material:||Journal Article||Publisher:||Elsevier||Journal:||Economics Letters||Volume:||132||Start page:||125||End page:||128||Copyright (published version):||2015 Elsevier||Keywords:||Oil prices; Economic policy uncertainty; Forecasting||DOI:||10.1016/j.econlet.2015.04.023||Language:||en||Status of Item:||Peer reviewed|
|Appears in Collections:||Economics Research Collection|
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