This paper sheds light on the questions whether it is possible to generate an accurate forecast of the real price of … oil and how it can be improved using forecast combinations. For this reason, my work will investigate the out …

-time forecasts of the real price of oil can be more accurate than the no-change forecast at horizons up to one year. In some cases … prices, forecasts based on AR and ARMA models, and the no-change forecast. In addition, these VAR models have consistently … forecasters to interpret their oil price forecast in light of economic models and to evaluate its sensitivity to alternative …

New models to forecast the real price of oil on the basis of macroeconomic indicators and Google search data are …

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 …

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 …

In this paper we document the results of a forecast evaluation exercise for the real world price of crude oil using VAR …, change in global crude oil production) by the sparse methods is associated with substantial reductions of forecast errors … is not associated with additonal gains in forecast performance as is the application of impulse indicator saturation …

, while the ECM implies symmetric price transmission from crude oil to gasoline. We quantify the forecast accuracy gains due …