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dc.contributor.author | Rangan, Gupta![]() |
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dc.contributor.author | Pierdzioch, Christian![]() |
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dc.date.accessioned | 2022-08-02T07:10:02Z | |
dc.date.available | 2022-08-02T07:10:02Z | |
dc.date.issued | 2021-12-02 | |
dc.description.abstract | We extend the widely-studied Heterogeneous Autoregressive Realized Volatility (HAR-RV) model to examine the out-of-sample forecasting value of climate-risk factors for the realized volatility of movements of the prices of crude oil, heating oil, and natural gas. The climate-risk factors have been constructed in recent literature using techniques of computational linguistics, and consist of daily proxies of physical (natural disasters and global warming) and transition (U.S. climate policy and international summits) risks involving the climate. We find that climate-risk factors contribute to out-of-sample forecasting performance mainly at a monthly and, in some cases, also at a weekly forecast horizon. We demonstrate that our main finding is robust to various modifications of our forecasting experiment, and to using three different popular shrinkage estimators to estimate the extended HAR-RV model. We also study longer forecast horizons of up to three months, and we account for the possibility that policymakers and forecasters may have an asymmetric loss function. | en_US |
dc.description.department | Economics | en_US |
dc.description.librarian | am2022 | en_US |
dc.description.sponsorship | The Deutsche Forschungsgemeinschaft | en_US |
dc.description.uri | https://www.mdpi.com/journal/energies | en_US |
dc.identifier.citation | Gupta, R.; Pierdzioch, C. Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment. Energies 2021, 14, 8085. https://DOI.org/ 10.3390/en14238085. | en_US |
dc.identifier.issn | 1996-1073 (online) | |
dc.identifier.other | 10.3390/en14238085 | |
dc.identifier.uri | https://repository.up.ac.za/handle/2263/86628 | |
dc.language.iso | en | en_US |
dc.publisher | MDPI | en_US |
dc.rights | © 2021 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license. | en_US |
dc.subject | Climate risks | en_US |
dc.subject | Realized volatility | en_US |
dc.subject | Oil | en_US |
dc.subject | Natural gas | en_US |
dc.subject | Forecasting | en_US |
dc.title | Climate risks and the realized volatility oil and gas prices : results of an out-of-sample forecasting experiment | en_US |
dc.type | Article | en_US |