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Forecasting oil prices, oil price volatility and economic policy uncertainty

Total Cost €


EC-Contrib. €






Project "ENEFOR" data sheet

The following table provides information about the project.


Organization address
address: ODOS SYNGROU 136
postcode: 176 71

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
 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


Take a look of project's partnership.

# participants  country  role  EC contrib. [€] 


 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


year authors and title journal last update
List of publications.
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.

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