obvious advantage of financial data in forecasting oil prices is their availability in real time on a daily or weekly basis … lost by ignoring high-frequency financial data in forecasting the monthly real price of oil. …

-of-sample forecasts. Second, we discuss how to extend this forecasting approach to higher horizons. Third, we compare the resulting class … is most useful for forecasting. We show that the asymmetry embodied in commonly used nonlinear transformations of the … price of oil is not helpful for out-of-sample forecasting; more robust and more accurate real GDP forecasts are obtained …

-of-sample forecasts. Second, we discuss how to extend this forecasting approach to higher horizons. Third, we compare the resulting class … is most useful for forecasting. We show that the asymmetry embodied in commonly used nonlinear transformations of the … price of oil is not helpful for out-of-sample forecasting; more robust and more accurate real GDP forecasts are obtained …

We investigate the probability forecasting performance of a three-regime dynamic ordered probit model framework …-parametric dating algorithm for the identification of these three phases. We compare the pseudo-out-of-sample forecasting skills of an …