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Influential factors in crude oil price forecasting

dc.contributor.authorMiao, Hong, author
dc.contributor.authorRamchander, Sanjay, author
dc.contributor.authorWang, Tianyang, author
dc.contributor.authorYang, Dongxiao, author
dc.contributor.authorEnergy Economics, publisher
dc.descriptionIncludes bibliographical references (pages 23-26).
dc.descriptionPublished as: Energy Economics, vol. 68, October 2017, pp. 77-78,
dc.description.abstractThis paper identifies factors that are influential in forecasting crude oil prices. We consider six categories of factors (supply, demand, financial market, commodities market, speculative, and geopolitical) and test their significance in the context of estimating various forecasting models. We find that the Least Absolute Shrinkage and Selection Operator (LASSO) regression method provides significant improvements in the forecasting accuracy of prices compared to alternative benchmarks. Relative to the no-change and futures-based models, LASSO forecasts at the 8-step ahead horizon yield significant reductions in Mean Squared Prediction Error (MSPE), with MSPE ratios of 0.873 and 0.898, respectively. We also document substantial improvements in forecasting performance of the factor-based model that employs only a subset of variables chosen by LASSO. Finally, the time-varying nature of the relationship between factors and oil prices is used to explain recent movements in crude oil prices.
dc.format.mediumborn digital
dc.identifier.bibliographicCitationMiao, H., Ramchander, S., Wang, T., & Yang, D. (2017). Influential factors in crude oil price forecasting. Energy Economics, 68.
dc.publisherColorado State University. Libraries
dc.relation.ispartofFaculty Publications
dc.rights©2020 Elsevier B.V. Author can archive pre-print and post-print.
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see
dc.subjectoil prices
dc.subjectleast absolute shrinkage and selection operator (LASSO)
dc.subjectmean squared prediction error (MSPE)
dc.subjectsuccess ratio
dc.titleInfluential factors in crude oil price forecasting


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