has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting and for the …

of allowing for time variation in vector autoregressive (VAR) model parameters and of constructing forecast combinations …

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast …, including the question of whether financial market information helps forecast the real price of oil in physical markets. An … substantial and statistically significant real-time improvements in forecast accuracy. The preferred mixed-data sampling (MIDAS …

specifications involving product spreads and compare these models to the no-change forecast of the real price of oil. We show that …

be more accurate than the no-change forecast of the real price of oil. We investigate the merits of constructing real …-time forecast combinations of six such models with weights that reflect the recent forecasting success of each model. Forecast … other models with higher MSPEs. Fourth, one can think of forecast combinations as providing insurance against possible model …

has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …

alternatives and more economically plausible. We discuss implications of our analysis for the estimation of economic models of …

the mean squared prediction errors of the no-change forecast constructed from average monthly or quarterly data by up to … on monthly closing prices dominates the conventional no-change forecast in terms of forecast accuracy. Although model …-based forecasts also improve when models are estimated using closing prices, only the futures-based forecast significantly outperforms …

discusses how to forecast future oil price movements based on information from both the oil futures market and the spot market …