crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework …. The proposed forecasting strategy produces the lowest errors across all times to maturity …

crude oil prices using dynamic Nelson-Siegel model, and propose to forecast them with the generalized regression framework …. The proposed forecasting strategy produces the lowest errors across all times to maturity. …

-dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the … commodities. Accounting for intra-commodity-market spillovers significantly improves out-of-sample forecasts of the components of … this forecast power. There thus seems to be substantial information transmission between different commodity markets …

In this paper, we examined and compared the forecast performances of the dynamic Nelson–Siegel (DNS), dynamic Nelson …–Siegel–Svensson (DNSS), and arbitrage-free Nelson–Siegel (AFNS) models after the financial crisis period. The best model for the forecast … performance is the DNSS model in the middle and long periods. The AFNS is inferior to the DNS model for long-period forecasting …

to forecast returns, implied variance or skewness on par, or better, than extant multivariate stochastic volatility jump …