Predicting crude oil prices: Replication of the empirical results in “What do we learn from the price of crude oil?”
原油价格预测:对《我们从原油价格中学到了什么?》实证结果的复现
Summary In addition to their theoretical analysis of the joint determination of oil futures prices and oil spot prices, Alquist and Kilian ( Journal of Applied Econometrics , 2010, 25 (4), 539–573) compare the out‐of‐sample accuracy of the random walk forecast with that of forecasts based on oil futures prices and other predictors. The results of my replication exercise are very similar to the original forecast accuracy results, but the relative accuracy of the random walk…