Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach
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DOI: 10.1007/s10614-018-9835-4
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- Nima Nonejad, 2024. "Point forecasts of the price of crude oil: an attempt to “beat” the end-of-month random-walk benchmark," Empirical Economics, Springer, vol. 67(4), pages 1497-1539, October.
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More about this item
Keywords
Crude oil price; Fractional integration; Gibbs sampling; Markov switching;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
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