This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the … after adjusting for structural breaks. Finally, the out-of-sample analysis shows that forecasting models accommodating for …-of-sample forecasting exercise. …

forecasting the conditional volatility of oil spot and futures prices using a variety of GARCH-type models. Our results can be …

large number of forecasting models have been designed to forecast crude oil prices' volatility, so far the relative … performance evaluation of competing forecasting models remains an exercise that is unidimensional in nature. To be more specific …

forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this … sign and probability forecasts. Finally, we highlight that the forecasting performance of the estimated models is time-varying. …

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

This review provides an overview of forecasting methods that can help researchers forecast in the presence of non …