quite rapidly with the forecast horizon, and (b) AugGVAR forecasts do as well as other data-rich forecasting techniques for … short horizons, and tend to do better for longer forecast horizons. …

This paper explores a range of different forecast methods for Brent oil prices and analyses their performance relative … across forecast horizons. To address this instability, we propose a forecast combination for predicting quarterly real Brent … generates forecasts whose performance is robust over time. The improvements in forecast accuracy and stability are noticeable in …