Univariate vs Multivariate Models for Forecasting Crude Oil Basis Volatility
Simple univariate models are more effective than multivariate models in predicting the volatility of oil futures basis, resulting in higher Sharpe ratios and better forecasting accuracy.
Featured in No. 18 on 4 Oct 2023 · 1 day after release
- Released
- 3 Oct 2023
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- No. 18 · 4 Oct 2023
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- SSRN 4590792
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