Modelling and forecasting cointegrated relationships among heavy oil and product prices

Massimo Giovannini, Matteo Manera, Alessandro Lanza

Risultato della ricerca: Contributo in rivistaArticolo in rivista

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
Lingua originaleEnglish
pagine (da-a)831-848
Numero di pagine18
RivistaEnergy Economics
Volume2005
Stato di pubblicazionePubblicato - 2005

Keywords

  • error correction models
  • forecasting
  • heavy oil prices
  • product prices

Fingerprint Entra nei temi di ricerca di 'Modelling and forecasting cointegrated relationships among heavy oil and product prices'. Insieme formano una fingerprint unica.

Cita questo