دانلود رایگان مقاله الزویر در مورد رابطه بین فرکانس بالا داده مالی و پیش بینی قیمت نفت (کلیک کنید)
توضیحات :
وبسایت مکاله اقدام به ارائه پروژه ی ساینس دایرکت با فرمت pdf، از انتشارات الزویر برای رشته علوم اقتصادی، و با عنوان رابطه بین فرکانس بالا داده مالی و پیش بینی قیمت نفت، نموده است.
مشخصات این مقاله :
عنوان مقاله :
Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
ترجمه فارسی عنوان :
رابطه بین فرکانس بالا داده مالی و پیش بینی قیمت نفت
سال انتشار : 2015
متعلق به مجله یا ژورنال : نشریه بین المللی پیش بینی – International Journal of Forecasting
فرمت: PDF
تعداد صفحات: 15
شماره پروژه: 5090
کلمات کلیدی :
Mixed frequency,Real-time data,Oil price,Forecasts
فرکانس مختلط، اطلاعات در زمان واقعی، قیمت نفت، پیش بینی
چکیده :
Abstract
In recent years there has been an increased interest in the link between financial markets and oil markets, including the question of whether financial market information helps to forecast the real price of oil in physical markets. An obvious advantage of financial data in forecasting monthly oil prices is their availability in real time on a daily or weekly basis.We investigate the predictive content of these data using mixed-frequency models. We show that, among a range of alternative high-frequency predictors, cumulative changes in US crude oil inventories in particular produce substantial and statistically significant realtime improvements in forecast accuracy. The preferred MIDAS model reduces the MSPE by as much as 28% compared with the no-change forecast and has a statistically significant directional accuracy as high as 73%. This MIDAS forecast is also more accurate than a mixed-frequency real-time VAR forecast, but is not systematically more accurate than the corresponding forecast based on monthly inventories. We conclude that there is not typically much lost by ignoring high-frequency financial data in forecasting the monthly real price of oil.
مقدمه این مقاله :
Introduction
The substantial variation in the real price of oil since 2003 has renewed interest in the question as to how monthly and quarterly oil prices should be forecast.1 The links between financial markets and the price of oil have received particular attention, including the question of whether financial market information may help forecast the price of oil in physical markets (e.g., Fattouh, Kilian, & Mahadeva, 2013). One obvious advantage of financial data is their availability in real time at high frequency. Financial data are not subject to revisions and are available on a daily or weekly basis. Existing forecasting models for the monthly real price of oil do not take advantage of these rich data sets. Our objective is to assess whether there is useful predictive information for the real price of oil in highfrequency data from financial and energy markets, and to identify which predictors are most useful. The incorporation of daily or weekly data into monthly oil price forecasts requires the use of models for mixed-frequency data. The development of models for variables sampled at different frequencies has attracted a substantial amount of interest in recent years. A comprehensive review is provided by Foroni, Ghysels, and Marcellino (2013).
توجه :
– این مقاله به صورت کامل و با فرمت پی دی اف آماده خرید اینترنتی و دانلود آنی میباشد.
توضیحات بیشتر در مورد پروژه :
در این مقاله خواهید خواند که در سال های اخیر با توجه به علاقه در ارتباط با بازارهای مالی و بازارهای نفت این سوال پیش می اید که آیا اطلاعات بازار مالی به پیش بینی قیمت نفت در بازار های واقعی کمک می کند؟ از مقاله فوق این نتیجه گیری به دست می اید که به طور معمول با نادیده گرفتن داده های مالی با فرکانس بالا در پیش بینی قیمت نفت داده از دست رفته وجود دارد
دانلود رایگان مقاله الزویر در مورد رابطه بین فرکانس بالا داده مالی و پیش بینی قیمت نفت (کلیک کنید)
