Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …. Specifically, we propose to model and forecast commodity spot and futures prices using a fractionally cointegrated vector …. We derive the best linear predictor forecast for this model and perform an out-of-sample forecast comparison with …

We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to … multicointegrated systems. For the forecast evaluation we consider several loss functions, each of which has a particular interpretation … square forecast error (MSFE) criterion focuses on the forecast errors of the flow variables alone. Likewise, a loss function …

frequency information into one model. We consider subsample averaging, bootstrap averaging, forecast averaging methods for the … forecasting the daily S&P 500 index return quantile (Value-at-Risk or VaR is simply the negative of it), using high …-frequency information is beneficial, often substantially and particularly so, in forecasting downside risk. Our empirical results show that …