• We consider spillovers between oil price volatility, OVX , and key uncertainty indicators. use monthly data for the VIX US EPU global geopolitical risk partisan conflict indices. employ Diebold Yilmaz framework to extract net pairwise indicators . All different types of are linked but only from contain significant in-sample predictive information. Spillovers do not generate real out-of-sample...

Examining the price relationships of Brent Crude with 78 global commodities, our study shows that spot a certain commodity, New York Harbor No. 2 Heating Oil Spot Price FOB, can serve as an auxiliary forecasting index rise and fall monthly oil price. With innovative view for evaluating relationship prediction based on simple, practical measurement, findings provide helpful tool investors analys...

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several alternative econometric specifications proposed in the literature to capture the dynamics of oil prices. Sec...

This paper provides detailed information on Team Poland’s approach in the electricity price forecasting track of GEFCom2014. A new hybrid model is proposed, consisting of four major blocks: point forecasting, pre-filtering, quantile regression modeling and post-processing. This universal model structure enables independent development of a single block, without affecting performance of the rema...