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- W2901438587 abstract "Extensive studies have used stock market information to forecast crude oil prices, and stock market can more easily derive high-frequency data than crude oil market due to no revisions, which raises a question that whether high-frequency stock market data can improve the forecast performance of crude oil prices. Therefore, this paper employs the MIDAS model and the high-frequency data of four stock market indices to forecast WTI and Brent crude oil prices at lower frequency. The results indicate that the high-frequency stock market indices have certain advantage over the lower-frequency data in forecasting monthly crude oil prices, and the MIDAS model using high-frequency data proves superior to the ordinary model." @default.
- W2901438587 created "2018-11-29" @default.
- W2901438587 creator A5012685285 @default.
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- W2901438587 date "2019-02-01" @default.
- W2901438587 modified "2023-10-13" @default.
- W2901438587 title "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models" @default.
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- W2901438587 doi "https://doi.org/10.1016/j.eneco.2018.11.015" @default.
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