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Uncovering Predictability in the Evolution of the WTI Oil Futures Curve

Kearney, Fearghal; Shang, Han Lin

Description

Accurately forecasting the price of oil, the world's most actively traded commodity, is of great importance to both academics and practitioners. We contribute by proposing a functional time series based method to model and forecast oil futures. Our approach boasts a number of theoretical and practical advantages, including effectively exploiting underlying process dynamics missed by classical discrete approaches. We evaluate the finite‐sample performance against established benchmarks using a...[Show more]

CollectionsANU Research Publications
Date published: 2019
Type: Journal article
URI: http://hdl.handle.net/1885/177003
Source: European Financial Management
DOI: 10.1111/eufm.12212

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