Oil price forecastability and economic uncertainty

Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia

dc.contributor.author	Bekiros, Stelios
dc.contributor.author	Gupta, Rangan
dc.contributor.author	Paccagnini, Alessia
dc.date.accessioned	2015-08-19T09:03:48Z
dc.date.available	2015-08-19T09:03:48Z
dc.date.issued	2015-07
dc.description.abstract	Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model outranks all alternative models over the period 2007:1–2014:2.	en_ZA
dc.description.embargo	2016-07-31	en_ZA
dc.description.librarian	hb2015	en_ZA
dc.description.uri	http://www.elsevier.com/locate/ecolet	en_ZA
dc.identifier.citation	Bekiros, S, Gupta, R & Paccagnini, A 2015, 'Oil price forecastability and economic uncertainty', Economics Letters, vol. 132, pp. 125-128.	en_ZA
dc.identifier.issn	1461-023X (print)
dc.identifier.issn	1461-0248 (online)
dc.identifier.other	10.1016/j.econlet.2015.04.023
dc.identifier.uri	http://hdl.handle.net/2263/49395
dc.language.iso	en	en_ZA
dc.publisher	Elsevier	en_ZA
dc.rights	© 2015 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, vol. 132, pp. 125-128, 2015. doi : 10.1016/j.econlet.2015.04.023.	en_ZA
dc.subject	Oil prices	en_ZA
dc.subject	Economic policy uncertainty	en_ZA
dc.subject	Forecasting	en_ZA
dc.title	Oil price forecastability and economic uncertainty	en_ZA
dc.type	Postprint Article	en_ZA