Reichsfeld, David A; Roache, Shaun K. - International Monetary Fund (IMF) - 2011
-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures …We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test …. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting …