| bibtype |
J -
Journal Article
|
| ARLID |
0453168 |
| utime |
20240103211514.1 |
| mtime |
20151222235959.9 |
| SCOPUS |
84951017088 |
| WOS |
000372379700035 |
| DOI |
10.1016/j.apenergy.2015.11.051 |
| title
(primary) (eng) |
Forecasting the term structure of crude oil futures prices with neural networks |
| specification |
| page_count |
14 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0250867 |
| ISSN |
0306-2619 |
| title
|
Applied Energy |
| volume_id |
164 |
| volume |
1 (2016) |
| page_num |
366-379 |
| publisher |
|
|
| keyword |
Term structure |
| keyword |
Nelson–Siegel model |
| keyword |
Dynamic neural networks |
| keyword |
Crude oil futures |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0331302 |
| share |
50 |
| name1 |
Malinská |
| name2 |
B. |
| country |
CZ |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0281000 |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
The paper contributes to the limited literature modelling the term structure of crude oil markets. We explain the term structure of crude oil prices using the dynamic Nelson–Siegel model and propose to forecast oil prices using a generalized regression framework based on neural networks. The newly proposed framework is empirically tested on 24 years of crude oil futures prices covering several important recessions and crisis periods. We find 1-month-, 3-month-, 6-month- and 12-month-ahead forecasts obtained from a focused time-delay neural network to be significantly more accurate than forecasts from other benchmark models. The proposed forecasting strategy produces the lowest errors across all times to maturity. |
| RIV |
AH |
| reportyear |
2017 |
| num_of_auth |
2 |
| mrcbC52 |
4 A hod 4ah 20231122141414.1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0260446 |
| mrcbC64 |
1 Department of Econometrics UTIA-B 20704 ENERGY & FUELS |
| confidential |
S |
| mrcbC86 |
1* Article Energy Fuels|Engineering Chemical |
| mrcbT16-e |
ENERGYFUELS|ENGINEERINGCHEMICAL |
| mrcbT16-j |
1.306 |
| mrcbT16-s |
3.011 |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
89.124 |
| mrcbT16-D |
Q1* |
| mrcbT16-E |
Q1* |
| arlyear |
2016 |
| mrcbTft |
\nSoubory v repozitáři: barunik-0453168.pdf |
| mrcbU14 |
84951017088 SCOPUS |
| mrcbU34 |
000372379700035 WOS |
| mrcbU63 |
cav_un_epca*0250867 Applied Energy 0306-2619 1872-9118 Roč. 164 č. 1 2016 366 379 Elsevier |
|