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Futures versus univariate forecast of crude oil prices

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  • Salah Abosedra

Abstract

A simple univariate model is employed to generate an unbiased and (weakly) efficient forecast of the crude oil spot price. In terms of predictive information, however, this univariate forecast is inferior to the futures price for one‐month‐ahead contracts. This observation may suggest that the futures price of crude oil, while unbiased, tends to be semi‐strongly efficient.

Suggested Citation

  • Salah Abosedra, 2005. "Futures versus univariate forecast of crude oil prices," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 29(4), pages 231-241, December.
    • Handle: RePEc:bla:opecrv:v:29:y:2005:i:4:p:231-241
    DOI: 10.1111/j.1468-0076.2005.00153.x
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    References listed on IDEAS

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    Cited by:

    1. Prat, Georges & Uctum, Remzi, 2011. "Modelling oil price expectations: Evidence from survey data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 236-247, June.
    2. Jeffrey A Frankel & Andrew K Rose, 2010. "Determinants of Agricultural and Mineral Commodity Prices," RBA Annual Conference Volume (Discontinued), in: Renée Fry & Callum Jones & Christopher Kent (ed.),Inflation in an Era of Relative Price Shocks, Reserve Bank of Australia.
    3. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, vol. 30(C), pages 233-247.
    4. Juan Carlos Cuestas & Paulo Jose Regis, 2008. "Nonlinearities and the order of integration of oil prices," NBS Discussion Papers in Economics 2008/15, Economics, Nottingham Business School, Nottingham Trent University.
    5. Arunanondchai, Panit & Senia, Mark C. & Capps, Oral, Jr., 2017. "Can U.S. EIA Retail Gasoline Price Forecasts Be Improved Upon?," Reports 285201, Texas A&M University, Agribusiness, Food, and Consumer Economics Research Center.
    6. Scarpa, Elisa & Longo, Chiara & Manera, Matteo & Markandya, Anil, 2007. "Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting," International Energy Markets Working Papers 12118, Fondazione Eni Enrico Mattei (FEEM).
    7. Giliola Frey & Matteo Manera & Anil Markandya & Elisa Scarpa, 2009. "Econometric Models for Oil Price Forecasting: A Critical Survey," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 10(1), pages 29-44, April.
    8. Bastianin, Andrea & Manera, Matteo & Markandya, Anil & Scarpa, Elisa, 2011. "Oil Price Forecast Evaluation with Flexible Loss Functions," Energy: Resources and Markets 120042, Fondazione Eni Enrico Mattei (FEEM).
    9. Georges Prat & Remzi Uctum, 2009. "Modelling oil price expectations: evidence from survey data," Working Papers hal-04140866, HAL.
    10. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    11. Clostermann, Jörg & Keis, Nikolaus & Seitz, Franz, 2010. "Short-term oil models before and during the financial market crisis," Arbeitsberichte – Working Papers 18, Technische Hochschule Ingolstadt (THI).
    12. Giliola Frey & Matteo Manera & Anil Markandya & Elisa Scarpa, 2009. "Econometric Models for Oil Price Forecasting: A Critical Survey," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 10(01), pages 29-44, April.
    13. Ai Han & Yanan He & Yongmiao Hong & Shouyang Wang, 2013. "Forecasting Interval-valued Crude Oil Prices via Autoregressive Conditional Interval Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    14. Naser, Hanan, 2016. "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, vol. 56(C), pages 75-87.

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