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- W2327981569 abstract "In this paper, we present a combination of three forecast models, ARIMA, exponential smoothing and dynamic regression, in order to predict the West Texas Intermediate (WTI) crude oil spot price and the Brent North Sea (Brent) crude oil spot price. Using samples from the period between January 1994 and June 2012 (in-sample), we identify the parameters and estimate the models. The validated models are combined to perform a forecast out-of-sample between July 2012 and June 2013. The results demonstrate that among the three models tested in-sample with Brent Prices, based on the MAPE measurement error, the ARIMA (2,1,8) model produced the best result, and the dynamic regression model was the best in-sample model for the WTI price. In the validation phase, the dynamic regression models did not prove to be valid, and therefore the combinations are performed only with the ARIMA and exponential smoothing models. For both proxies of oil prices, the combination of forecasts using ARIMA and exponential smoothing (out-of-sample) performed better than individual ARIMA and exponential models and also better than our benchmark models (naive forecast and Neural Network model). Based on the results, it can be inferred that using to a combination of forecasts to predict WTI and Brent spot prices is promising. We also point out that the selected model is easily replicable in spreadsheets and forecasting software and is based only on the past or lagged WTI or Brent values for future predictions." @default.
- W2327981569 created "2016-06-24" @default.
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- W2327981569 date "2016-03-18" @default.
- W2327981569 modified "2023-10-18" @default.
- W2327981569 title "Combination of forecasts for the price of crude oil on the spot market" @default.
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- W2327981569 doi "https://doi.org/10.1080/00207543.2016.1162340" @default.
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