The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that … frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using …

that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting …

forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this … point forecasting, while it can be exploited to produce more accurate sign and probability forecasts. Finally, we highlight … that the forecasting performance of the estimated models is time-varying. …