Uncovering Predictability in the Evolution of the WTI Oil Futures Curve
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]
|Collections||ANU Research Publications|
|Source:||European Financial Management|
|01_Kearney_Uncovering_Predictability_in_2019.pdf||912.29 kB||Adobe PDF||Request a copy|
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