This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity … avoid obfuscation of the sources of forecast ability, the model is intentionally kept simple, although extensions for … improving and increasing the robustness of the forecast procedure are also discussed. …

We forecast quarterly US stock returns using eighteen predictor variables both individually and in multivariate … regressions, with the former also used in forecast combinations. Using rolling and recursive approaches, we consider a range of … statistical and economic evaluation measures. We consider linear and non-linear regressions as well as forecast evaluations over …

This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity … avoid obfuscation of the sources of forecast ability, the model is intentionally kept simple, although extensions for … improving and increasing the robustness of the forecast procedure are also discussed …

–2016. Our forecast evaluation test results indicate that the VAR forecasts generally embody useful predictive information above …