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

forecast combinations to vary across forecast horizons. While the latter approach is not always more accurate than selecting …-squared prediction error of real-time pooled forecasts is between 3% and 29% lower than that of the no-change forecast and its … quarterly forecasts. We illustrate how forecast pooling may be used to produce real-time forecasts of the real and the nominal …

gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures markets … price forecast to alternative assumptions about future demand and supply conditions? How does one quantify risks associated …

-time forecasts of the real price of oil can be more accurate than the no-change forecast at horizons up to one year. In some cases … prices, forecasts based on AR and ARMA models, and the no-change forecast. In addition, these VAR models have consistently … forecasters to interpret their oil price forecast in light of economic models and to evaluate its sensitivity to alternative …

much the forecast would change relative to the baseline forecast under alternative scenarios about future oil demand and … evaluating the risks underlying these forecasts. We show how policy-relevant forecast scenarios can be constructed from recently … to these scenarios affect the upside and downside risks embodied in the baseline real-time oil price forecast. Such risk …

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

be more accurate than the nochange forecast of the real price of oil. We investigate the merits of constructing realtime … 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 …

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 …