Modelling and forecasting cointegrated relationships among heavy oil and product prices

Matteo Manera; Alessandro Lanza; Massimo Giovannini

Modelling and forecasting cointegrated relationships among heavy oil and product prices

Matteo Manera, Alessandro Lanza, Massimo Giovannini

Research output: Contribution to journal › Article

Abstract

In this paper we investigate heavy crude oil and product price dynamics. We present a comparison among ten prices series of heavy crude oils and fourteen price series of petroleum products in two distinct areas (Europe and Americas) over the period 1994 2002. We provide a complete analysis of crude oil and product price dynamics using cointegration and error correction models (ECM). Subsequently we use the ECM specification to predict crude oil prices over the horizon January 2002 June 2002. Finally we compare the forecasting performance of ECM with a naı¨ve model in first differences which does not exploit any cointegrating relation

Original language	English
Pages (from-to)	831-848
Number of pages	18
Journal	Energy Economics
Volume	2005
Publication status	Published - 2005
Externally published	Yes

Keywords

error correction models
forecasting
heavy oil prices
product prices

Cite this

@article{b8c082a9f4ef478798b39b09cf5dd3bc,

title = "Modelling and forecasting cointegrated relationships among heavy oil and product prices",

abstract = "In this paper we investigate heavy crude oil and product price dynamics. We present a comparison among ten prices series of heavy crude oils and fourteen price series of petroleum products in two distinct areas (Europe and Americas) over the period 1994 2002. We provide a complete analysis of crude oil and product price dynamics using cointegration and error correction models (ECM). Subsequently we use the ECM specification to predict crude oil prices over the horizon January 2002 June 2002. Finally we compare the forecasting performance of ECM with a naı¨ve model in first differences which does not exploit any cointegrating relation",

keywords = "error correction models, forecasting, heavy oil prices, product prices, error correction models, forecasting, heavy oil prices, product prices",

author = "Matteo Manera and Alessandro Lanza and Massimo Giovannini",

year = "2005",

language = "English",

volume = "2005",

pages = "831--848",

journal = "Energy Economics",

issn = "0140-9883",

publisher = "Elsevier Science Limited:Oxford Fulfillment Center, PO Box 800, Kidlington Oxford OX5 1DX United Kingdom:011 44 1865 843000, 011 44 1865 843699, EMAIL: [email protected], [email protected], INTERNET: http://www.elsevier.com, http://www.elsevier.com/locate/shpsa/, Fax: 011 44 1865 843010",

}

TY - JOUR

T1 - Modelling and forecasting cointegrated relationships among heavy oil and product prices

AU - Manera, Matteo

AU - Lanza, Alessandro

AU - Giovannini, Massimo

PY - 2005

Y1 - 2005

N2 - In this paper we investigate heavy crude oil and product price dynamics. We present a comparison among ten prices series of heavy crude oils and fourteen price series of petroleum products in two distinct areas (Europe and Americas) over the period 1994 2002. We provide a complete analysis of crude oil and product price dynamics using cointegration and error correction models (ECM). Subsequently we use the ECM specification to predict crude oil prices over the horizon January 2002 June 2002. Finally we compare the forecasting performance of ECM with a naı¨ve model in first differences which does not exploit any cointegrating relation

AB - In this paper we investigate heavy crude oil and product price dynamics. We present a comparison among ten prices series of heavy crude oils and fourteen price series of petroleum products in two distinct areas (Europe and Americas) over the period 1994 2002. We provide a complete analysis of crude oil and product price dynamics using cointegration and error correction models (ECM). Subsequently we use the ECM specification to predict crude oil prices over the horizon January 2002 June 2002. Finally we compare the forecasting performance of ECM with a naı¨ve model in first differences which does not exploit any cointegrating relation

KW - error correction models

KW - forecasting

KW - heavy oil prices

KW - product prices

KW - error correction models

KW - forecasting

KW - heavy oil prices

KW - product prices

UR - http://hdl.handle.net/10807/32049

M3 - Article

SN - 0140-9883

VL - 2005

SP - 831

EP - 848

JO - Energy Economics

JF - Energy Economics

ER -

Modelling and forecasting cointegrated relationships among heavy oil and product prices

Abstract

Keywords

Other files and links

Fingerprint

Cite this