01818cas a2200241 a 4500 AALejournalIMF001371 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451951110 1018-5941 BD-DhAAL BD-DhAAL Kumar, Manmohan. Forecasting Accuracy of Crude Oil Futures Prices / Manmohan Kumar. Washington, D.C. : International Monetary Fund, 1991. 1 online resource (54 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models, as well as judgemental forecasts. The paper also explores the predictive power of futures prices by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using a variety of different weighting schemes. Finally, the paper investigates whether the forecasts from using futures prices can be improved by incorporating information from other forecasting techniques. Mode of access: Internet IMF Working Papers; Working Paper ; No. 1991/093 Full text available on IMF http://elibrary.imf.org/view/journals/001/1991/093/001.1991.issue-093-en.xml IMF e-Library