A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models

Energy Economics

Volumn 34, Issue 2, 2012, Pages 576-583

  Xu, Bing ^a   Ouenniche, Jamal ^b,c  

^a ROBERT GORDON UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF EDINBURGH BUSINESS SCHOOL   (United Kingdom)

^c RENNES SCHOOL OF BUSINESS   (France)

Author keywords

Data Envelopment Analysis (DEA); Forecasting; GARCH; Performance criteria; Performance evaluation; Volatility

Indexed keywords

APPLICATION AREA; COMPETING MODELS; CRUDE OIL PRICES; DATA ENVELOPMENT; DECISION MAKING PROCESS; EMPIRICAL RESULTS; FORECASTING MODELS; GARCH; INFORMED DECISION; MACROECONOMIC POLICIES; OPTIONS PRICING; PERFORMANCE CRITERION; PERFORMANCE EVALUATION; PERFORMANCE MEASURE; PORTFOLIO MANAGEMENTS; RELATIVE PERFORMANCE; VOLATILITY; VOLATILITY FORECASTING;

CRUDE OIL; DECISION MAKING; FINANCIAL DATA PROCESSING; FORECASTING; INVESTMENTS; RISK MANAGEMENT;

DATA ENVELOPMENT ANALYSIS;

CRUDE OIL; DATA ENVELOPMENT ANALYSIS; DECISION MAKING; EMPIRICAL ANALYSIS; FORECASTING METHOD; MACROECONOMICS; NUMERICAL MODEL; PERFORMANCE ASSESSMENT;

EID: 84857374310     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2011.12.005     Document Type: Article

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