Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models

The aim of this paper is to forecast monthly crude oil price with a hierarchical shrinkage approach, which utilizes not only LASSO for predictor selection, but a hierarchical Bayesian method to determine whether constant coefficient (CC) or time-varying parameter (TVP) predictive regression should b...

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Bibliographic Details
Main Authors: Yuntong Liu, Yu Wei, Yi Liu, Wenjuan Li
Format: Article
Language:English
Published: Wiley 2020-01-01
Series:Discrete Dynamics in Nature and Society
Online Access:http://dx.doi.org/10.1155/2020/6640180
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