Niaz Bashiri Behmiri

Crude Oil Price Forecasting Techniques: A Comprehensive Review of Literature

The goal of this article is to review the existing literature on crude oil price forecasting. We categorized the existing forecasting techniques into the two main groups of quantitative and qualitative methods; and then we performed an almost comprehensive survey on the available literature with respect to these two main forecasting techniques.

Understanding Dynamic Conditional Correlations between Commodities Futures Markets

We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic variables are significantly correlated with agriculture-energy and metals-energy dynamic conditional correlations; while financial variables are relevant in the agriculture-energy correlations and poorly significant in the metals-energy ones. Speculative activity is generally not statistically significant. Correlations started increasing in the years before the financial crisis and decreased at the end of our period of analysis.