In this paper we document the results of a forecast evaluation exercise for the real world price of crude oil using VAR … models estimated by sparse (regularization) estimators. These methods have the property to constrain single parameters to …, change in global crude oil production) by the sparse methods is associated with substantial reductions of forecast errors …

This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for … Bayesian VAR approach, we observe that effects on forecast errors of professionals turn out to be more significant compared to …