forecast oil prices out-of-sample up to three months. Two of the models are based on the VAR methodology and consider …

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

returns. Our results suggest that the decomposition model produces higher forecast and directional accuracy than any of the …

There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive … 2008 recession could have been forecast using the latter class of time-varying threshold models …

This paper explores a range of different forecast methods for Brent oil prices and analyses their performance relative … across forecast horizons. To address this instability, we propose a forecast combination for predicting quarterly real Brent … generates forecasts whose performance is robust over time. The improvements in forecast accuracy and stability are noticeable in …

gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures markets … price forecast to alternative assumptions about future demand and supply conditions? How does one quantify risks associated …

There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive … 2008 recession could have been forecast using the latter class of time-varying threshold models …