Objective
Oil price volatility forecasting is of major importance due to the financialisation of the oil market and the fact that the oil market participants’ decisions are based on such forecasting (e.g. oil-intensive industries, policy makers, portfolio traders, etc). Currently, forecasters predict oil price volatility using GARCH and HAR models and evaluate the performance of these models using statistical loss-functions, such as the Mean Absolute Predictive Error. Even more, the literature concentrates mainly its attention on two measures of volatility, namely the conditional volatility and the realized volatility.
Nevertheless, oil price volatility users are faced with multiple volatility measures, multiple forecasting models and different reasons for which they use oil price volatility forecasts (e.g. policy making, portfolio allocation, risk management). Thus, in order for oil volatility users to make informed decisions, they need to know what the most appropriate volatility measure is and what the most accurate forecasting model is.
This innovative project aims to lay the foundations for an advanced econometric model framework for the evaluation of the best oil volatility measures along with the best forecasting models, using objective-based loss functions.
The outcome of this fellowship will be a toolbox, containing the aforementioned framework. The project will have a great impact on the fellow as it will allow him to advance his existing scientific skills through the cutting-edge training in the state-of-the-art oil volatility forecasting techniques, in energy finance and in the field of consulting. Overall, the research training will allow the fellow to develop a pioneering research agenda in energy finance and will position him as an internationally recognised scholar that contributes further to the research excellence in Europe. Even more, this fellowship will have a great impact on the supervisor, the host institution and the European Research Area.
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: https://op.europa.eu/en/web/eu-vocabularies/euroscivoc.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: https://op.europa.eu/en/web/eu-vocabularies/euroscivoc.
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Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
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H2020-EU.1.3. - EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions
MAIN PROGRAMME
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H2020-EU.1.3.2. - Nurturing excellence by means of cross-border and cross-sector mobility
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Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
MSCA-IF-EF-ST - Standard EF
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Call for proposal
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
(opens in new window) H2020-MSCA-IF-2016
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Net EU financial contribution. The sum of money that the participant receives, deducted by the EU contribution to its linked third party. It considers the distribution of the EU financial contribution between direct beneficiaries of the project and other types of participants, like third-party participants.
BH12 5BB POOLE
United Kingdom
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.