The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast …, including the question of whether financial market information helps forecast the real price of oil in physical markets. An … substantial and statistically significant real-time improvements in forecast accuracy. The preferred mixed-data sampling (MIDAS …

This paper constructs a monthly real-time oil price dataset using backcasting and compares the forecast performance of … used to forecast the real price of oil. The results show that time-varying volatility models dominate their counterparts …

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast …, including the question of whether financial market information helps forecast the real price of oil in physical markets. An … and statistically significant real-time improvements in forecast accuracy. The preferred MIDAS model reduces the MSPE by …

competing strategies such as forecast combinations and shrinkage methods. A mean-variance investor who targets a constant Sharpe …