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ENEFOR

Forecasting oil prices, oil price volatility and economic policy uncertainty

Total Cost €

EC-Contrib. €

Partnership

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Outcomes and
results

ENEFOR project word cloud

Explore the words cloud of the ENEFOR project. It provides you a very rough idea of what is the project "ENEFOR" about.

crowded communicate recognised complementarities forecasted involve shocks economic edge successful sampling position agenda internationally expertise techniques host monetary scholar skills pioneering formulation excellence accuracy forecasting added area data scientist forecast infrastructure volatility charge oil model transferable capacity price internal predictability traders consultancy invaluable organisation econometric innovative fellow realised extracting exert programming policy frameworks consistency predict frequency cutting easiness though researcher independent market contributes effectiveness scientific decisions economics outcome training ultra forecasts off opportunity trade energy

Project "ENEFOR" data sheet

The following table provides information about the project.

Coordinator	PANTEIO PANEPISTIMIO KOINONIKON KAIPOLITIKON EPISTIMON Organization address address: ODOS SYNGROU 136 city: KALLITHEA ATHINA postcode: 176 71 website: www.panteion.gr contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.
Coordinator Country	Greece [EL]
Project website	http://enefor.eu
Total cost	164˙653 €
EC max contribution	164˙653 € (100%)
Programme	1. H2020-EU.1.3.2. (Nurturing excellence by means of cross-border and cross-sector mobility)
Code Call	H2020-MSCA-IF-2014
Funding Scheme	MSCA-IF-EF-ST
Starting year	2015
Duration (year-month-day)	from 2015-04-06 to 2017-04-05

Partnership

Take a look of project's partnership.

#	participants	country	role	EC contrib. [€]
1	PANTEIO PANEPISTIMIO KOINONIKON KAIPOLITIKON EPISTIMON PANTEIO PANEPISTIMIO KOINONIKON KAIPOLITIKON EPISTIMON Organization address address: ODOS SYNGROU 136 city: KALLITHEA ATHINA postcode: 176 71 website: www.panteion.gr contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	EL (KALLITHEA ATHINA)	coordinator	164˙653.00

Map

Project objective

Oil price and oil price volatility forecasts are of major importance, given the oil market is well crowded by participants who proceed to decisions based on these forecasts (e.g. oil traders, monetary policy authorities, etc). The current state-of-the-art forecasting techniques, though, (i) involve a trade-off among internal consistency, forecasting accuracy and easiness to communicate aspects and (ii) do not use ultra high frequency data. Thus, this exciting and innovative project aims to develop new econometric model frameworks to forecast oil price and oil price volatility, which will be successful in enhancing internal consistency, forecasting accuracy and easiness to communicate extracting added-value (in terms of predictability) information from the ultra high sampling frequency. In addition, this project aims to use the forecasted oil price volatility to predict the economic policy uncertainty in Europe, given that oil price shocks exert significant impact on the effectiveness of economic policy. This project will allow the researcher to advance his existing scientific and transferable skills through the cutting-edge training in the state-of-the-art forecasting techniques, as well as, in programming, consultancy and policy formulation skills. The outcome of this training (i) will provide the fellow with an invaluable opportunity for the development of a pioneering research agenda and (ii) will position him as an internationally recognised scholar that contributes to research excellence in Europe. The established capacity of the fellow as an independent researcher in the area of energy economics, the expertise of the scientist-in-charge in state-of-the-art forecasting techniques and the infrastructure of the host organisation offer great complementarities, which will allow these highly innovative model frameworks to be realised. This project will have a great impact not only to the researcher, but also to the host organisation and to the European Research Area

Publications

List of publications.
year	authors and title	journal	last update
2016	Rustam Boldanov, Stavros Degiannakis, George Filis Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries published pages: 209-220, ISSN: 1057-5219, DOI: 10.1016/j.irfa.2016.10.002	International Review of Financial Analysis 48	2019-07-24
2018	Nikolaos Antonakakis, Juncal Cunado, George Filis, David Gabauer, Fernando Perez de Gracia Oil volatility, oil and gas firms and portfolio diversification published pages: 499-515, ISSN: 0140-9883, DOI: 10.1016/j.eneco.2018.01.023	Energy Economics 70	2019-07-24
2017	Stavros Degiannakis, George Filis Forecasting oil price realized volatility using information channels from other asset classes published pages: 28-49, ISSN: 0261-5606, DOI: 10.1016/j.jimonfin.2017.05.006	Journal of International Money and Finance 76	2019-07-24
2018	Stavros Degiannakis, George Filis, Sofia Panagiotakopoulou Oil price shocks and uncertainty: How stable is their relationship over time? published pages: , ISSN: 0264-9993, DOI: 10.1016/j.econmod.2018.01.004	Economic Modelling	2019-07-24

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The information about "ENEFOR" are provided by the European Opendata Portal: CORDIS opendata.