In the current uncertain context that affects both the world economy and the energy sector, with the rapid increase in the prices of oil and gas and the very unstable political situation that affects some of the largest raw materials’ producers, there is a need for developing efficient and...

Factor models have been applied extensively for forecasting when high dimensional datasets are available. In this case, the number of variables can be very large. For instance, usual dynamic factor models in central banks handle over 100 variables. However, there is a growing body of the...