期刊
ENERGY ECONOMICS
卷 78, 期 -, 页码 192-201出版社
ELSEVIER
DOI: 10.1016/j.eneco.2018.11.015
关键词
Stock market; Crude oil price forecast; MIDAS model; High frequency data
类别
资金
- National Natural Science Foundation of China [71322103, 71431008, 71774051]
- National Program for Support of Top-notch Young Professionals [W02070325]
- Changjiang Scholars Program of the Ministry of Education of China [Q2016154]
- Hunan Youth Talent Program
- China Scholarship Council [201606135020]
Extensive studies have used stock market information to forecast crude oil prices, and stock market can more easily derive high-frequency data than crude oil market due to no revisions, which raises a question that whether high-frequency stock market data can improve the forecast performance of crude oil prices. Therefore, this paper employs the MIDAS model and the high-frequency data of four stock market indices to forecast WTI and Brent crude oil prices at lower frequency. The results indicate that the high-frequency stock market indices have certain advantage over the lower-frequency data in forecasting monthly crude oil prices, and the MIDAS model using high-frequency data proves superior to the ordinary model. (C) 2018 Elsevier B.V. All rights reserved.
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