In this paper we investigate heavy crude oil and product price dynamics. We present a comparison among ten prices series of heavy crude oils and fourteen price series of petroleum products in two distinct areas (Europe and Americas) over the period 1994-2002. We provide a complete analysis of crude oil and product price dynamics using cointegration and error correction models (ECM). Subsequently we use the ECM specification to predict crude oil prices over the horizon January 2002-June 2002. Finally we compare the forecasting performance of ECM with a naive model in first differences which does not exploit any cointegrating relation. (c) 2005 Elsevier B.V. All rights reserved.
|Titolo:||Modeling and forecasting cointegrated relationships among heavy oil and product prices|
|Autori interni:||GIOVANNINI, MARCELLO (Ultimo)|
|Parole Chiave:||Error correction models; Forecasting; Heavy oil prices; Product prices|
|Settore Scientifico Disciplinare:||Settore MED/38 - Pediatria Generale e Specialistica|
|Data di pubblicazione:||2005|
|Digital Object Identifier (DOI):||10.1016/j.eneco.2005.07.001|
|Appare nelle tipologie:||01 - Articolo su periodico|