Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/88193
Authors: 
Clostermann, Jörg
Keis, Nikolaus
Seitz, Franz
Year of Publication: 
2010
Series/Report no.: 
ROME Discussion Paper Series 10-05
Abstract: 
The present paper presents three different short-term oil models on a weekly basis. With these models we try to forecast oil prices out-of-sample up to three months. Two of the models are based on the VAR methodology and consider fundamental factors like the net long position and oil inventories. The third variant is a pure futures model. It is shown that the first two fundamental models perform better until mid/end 2007 and since mid 2009. During the financial market crisis from end 2007 until mid 2009, the futures model clearly has better forecasting quality than the other models.
Subjects: 
Oil
VAR
futures
forecast
JEL: 
C53
E37
Q43
Document Type: 
Working Paper

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