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 naı¨ve model in first differences which does not exploit any cointegrating relation
Manera, M., Lanza, A., Giovannini, M., Modelling and forecasting cointegrated relationships among heavy oil and product prices, <<ENERGY ECONOMICS>>, 2005; 2005 (Novembre): 831-848 [http://hdl.handle.net/10807/32049]
Modelling and forecasting cointegrated relationships among heavy oil and product prices
Giovannini, Massimo
2005
Abstract
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 naı¨ve model in first differences which does not exploit any cointegrating relationI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.