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Persistent link: https://www.econbiz.de/10012692685
We find out-of-sample predictability of commodity futures excess returns using combination forecasts of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....
Persistent link: https://www.econbiz.de/10013291190
We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....
Persistent link: https://www.econbiz.de/10012418356
Persistent link: https://www.econbiz.de/10011820656
Persistent link: https://www.econbiz.de/10014477804