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 …

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …

horizon. In this paper, the efficiency gains from the joint estimation of forecast uncertainty for all horizons in such …Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of … recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast …

distribution by asking whether ethanol returns can be used to forecast different parts of field crops returns distribution, or vice … Squares. Forecast evaluation relies on quantile-weighed scoring rules, which identify regions of the distribution of interest … by using field crops returns. On the contrary, there is no evidence that ethanol can be used to forecast any region of …

care is required in order to achieve these forecast improvements. Rich multivariate models are needed to exploit the …, shrinkage and forecast combinations. …

, while the ECM implies symmetric price transmission from crude oil to gasoline. We quantify the forecast accuracy gains due …