CORDIS Project
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This project develops advanced econometric models to forecast oil prices and their volatility using ultra high frequency data. It aims to improve forecasting accuracy and consistency while also linking oil price volatility to economic policy uncertainty in Europe.
Oil price and oil price volatility forecasts are of major importance, given the oil market is well crowded by participants who proceed to decisions based on these forecasts (e.g. oil traders, monetary policy authorities, etc).
The current state-of-the-art forecasting techniques, though, (i) involve a trade-off among internal consistency, forecasting accuracy and easiness to communicate aspects and (ii) do not use ultra high frequency data.
Thus, this exciting and innovative project aims to devel…
PANTEION UNIVERSITY OF SOCIAL AND POLITICAL SCIENCES
PANTEIO PANEPISTIMIO KOINONIKON KAIPOLITIKON EPISTIMON
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