Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
By Christiane Baumeister, Lutz Kilian. 2015
287 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/dfaada67d33609df97194fe671740d3f1a0cb283
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Rob J Hyndman
- Fotios Petropoulos
- Konstantinos Nikolopoulos
- George Filis
- Stavros Degiannakis *
- Nikolaos Kourentzes
- Vassilios Assimakopoulos
- Rangan Gupta
In Renewable Energy, Sustainability and the Environment
- George Filis
- Stavros Degiannakis *
- Rangan Gupta
- Christiane Baumeister
- Vipin Arora
- Rob J Hyndman
- Lutz Kilian
- Nikolaos Kourentzes
Citations in the corpus
- Forecasting: theory and practice (2020, background): “In addition, a large number of studies have increasingly focused on the hybrid forecasting models based on econometrics models and machine learning techniques (Jammazi and Aloui, 2012; He et al., 2012; Baumeister and Kilian, 2015; Chiroma et al., 2015), achieving improved performance.”
- Forecasting oil price realized volatility using information channels from other asset classes (2017, background): “See, for example, Abramson and Finizza (1991), Huntington (1994), Alquist et al. (2013), Baumeister and Kilian (2102, 2014, 2015). for instance, Hansen and Lunde, 2005; Engle and Sun, 2007; Tay et al., 2009).”
- Do High-Frequency Financial Data Help Forecast Oil Prices? The Midas Touch at Work (2015, background): “Doing so would raise additional complications discussed in Baumeister and Kilian (2013a).”
- Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us (2016, background): “…studies have documented that the predictive accuracy of vector autoregressive models of the global oil market improves during times of persistent and hence predictable economic 21 expansions or contractions, but is greatly reduced during normal times (see Baumeister and Kilian 2012, 2015b).”
- Influential factors in crude oil price forecasting (2017, methodology): “Global crude oil export can be viewed as an additional measure of global 7Consistent with the prior literature (c.f. Kilian, 2010, Baumeister and Kilian, 2012, 2015; Chatrath et al., 2016), for daily and weekly data, we only keep the observations for each Friday.”
- Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “See, for instance, Baumeister and Kilian (2015, 2014), Baumeister et al .”
- Forecast combinations: An over 50-year review (2022, background): “It is natural to adopt rolling windows in estimating the weights to deal with structural changes, but the window length should not be too short without the estimates of the weights becoming too noisy (Baumeister and Kilian, 2015).”