We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil …, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach …

uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a … some previously used measures significantly underestimate the conceptually correct benchmark forecast uncertainty. …