Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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How determinants of commodities prices change in time? A Dynamic Model Averaging based analysis.

2015/19/N/HS4/00205

Keywords:

commodities prices dynamic model averaging Bayesian modeling

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_6: Financial markets, international finance, public finance
  • HS4_1: Macroeconomics (incl. economic balance, economic growth, business cycles in global economy, labour economics)

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Warszawski, Wydział Nauk Ekonomicznych

woj. mazowieckie

Other projects carried out by the institution 

Principal investigator (from the host institution):

Krzysztof Drachal 

Number of co-investigators in the project: 2

Call: PRELUDIUM 10 - announced on 2015-09-15

Amount awarded: 148 796 PLN

Project start date (Y-m-d): 2016-09-08

Project end date (Y-m-d): 2019-11-07

Project duration:: 38 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. tablet (2 000 PLN)
  2. zestaw komputerowy (6 000 PLN)

Information in the final report

  • Publication in academic press/journals (9)
  • Articles in post-conference publications (5)
  1. Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example
    Authors:
    Krzysztof Drachal
    Academic press:
    Energy Economics (rok: 2018, tom: 74, strony: 208-251), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2018.04.043 - link to the publication
  2. Forecasting prices of selected metals with Bayesian data-rich models
    Authors:
    Krzysztof Drachal
    Academic press:
    Resources Policy (rok: 2019, tom: 64, strony: ID 101528), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.resourpol.2019.101528 - link to the publication
  3. Forecasting crude oil real prices with averaging Time-Varying VAR models
    Authors:
    Krzysztof Drachal
    Academic press:
    Energy Economics , Wydawca: Elsevier
    Status:
    Submitted
    DOI:
    brak - link to the publication
  4. Forecasting spot oil price in a dynamic model averaging framework – Have the determinants changed over time?
    Authors:
    Krzysztof Drachal
    Academic press:
    Energy Economics (rok: 2016, tom: 60, strony: 35-46), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2016.09.020 - link to the publication
  5. Exchange Rate and Oil Price Interactions in Selected CEE Countries
    Authors:
    Drachal Krzysztof
    Academic press:
    Economies (rok: 2018, tom: 6, strony: ID 31), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/economies6020031 - link to the publication
  6. Analysis of agricultural commodities prices with new Bayesian model combination schemes
    Authors:
    Krzysztof Drachal
    Academic press:
    Sustainability (rok: 2019, tom: 11, strony: ID 5305), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/su11195305 - link to the publication
  7. Forecasting spot oil price using Google probabilities
    Authors:
    Krzysztof Drachal
    Academic press:
    Proceedings of Machine Learning Research (rok: 2017, tom: 58, strony: 31-40), Wydawca: Microtome Publishing
    Status:
    Published
    DOI:
    http://proceedings.mlr.press/v58/drachal17a/drachal17a.pdf - link to the publication
  8. Some Novel Bayesian Model Combination Schemes: An Application to Commodities Prices
    Authors:
    Drachal Krzysztof
    Academic press:
    Sustainability (rok: 2018, tom: 10, strony: ID 2801), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/su10082801 - link to the publication
  9. Determining time-varying drivers of spot oil price in a Dynamic Model Averaging framework
    Authors:
    Krzysztof Drachal
    Academic press:
    Energies (rok: 2018, tom: 11, strony: ID 1207), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/en11051207 - link to the publication
  1. Determining oil price drivers with Dynamic Model Averaging
    Authors:
    Krzysztof Drachal
    Conference:
    15th IAEE European Conference (rok: 2017, ), Wydawca: International Association for Energy Economics
    Data:
    konferencja wrzesień 2017
    Status:
    Published
  2. Bayesian model combination schemes: An example of modelling selected grains spot prices
    Authors:
    Krzysztof Drachal, Justyna Góral, Włodzimierz Rembisz
    Conference:
    3rd International Conference on Food and Agricultural Economics (rok: 2019, ), Wydawca: Alanya Alaaddin Keykubat University
    Data:
    konferencja 25 – 26 IV 2019
    Status:
    Published
  3. Forecasting crude oil spot price with averaging time-varying VAR models
    Authors:
    Krzysztof Drachal
    Conference:
    4th IAEE Eurasian Conference (rok: 2019, ), Wydawca: International Association for Energy Economics
    Data:
    konferencja 17 – 19 X 2019
    Status:
    Published
  4. Forecasting Energy Commodities Prices with Bayesian Model Combination Schemes
    Authors:
    Drachal Krzysztof
    Conference:
    15th International Conference on the European Energy Market (rok: 2018, ), Wydawca: IEEE
    Data:
    konferencja 27-29/06/2018
    Status:
    Published
  5. Does some novel Bayesian model combination schemes lead to more accurate forecasts of agricultural prices?
    Authors:
    Krzysztof Drachal, Justyna Góral, Włodzimierz Rembisz
    Conference:
    The 5th Eurasian Conference on Language Social Sciences ECLSS 2019a (rok: 2019, ), Wydawca: ECLSS
    Data:
    konferencja 26 – 28 IV 2019
    Status:
    Published

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