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- W4298206768 abstract "The paper contributes to the rare literature modeling term structure of crude oil markets. We explain term structure of crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the 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 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." @default.
- W4298206768 created "2022-10-01" @default.
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- W4298206768 date "2015-04-19" @default.
- W4298206768 modified "2023-09-25" @default.
- W4298206768 title "Forecasting the term structure of crude oil futures prices with neural networks" @default.
- W4298206768 doi "https://doi.org/10.48550/arxiv.1504.04819" @default.
- W4298206768 hasPublicationYear "2015" @default.
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