The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that … static forecasts, as well as different measures of forecast errors. Finally, we propose a new class of models which combine … producing accurate forecasts of the WTI spot price. -- Oil Price ; WTI Spot and Futures Prices ; Forecasting ; Econometric …

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …

Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic … Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including …

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that … static forecasts, as well as different measures of forecast errors. Finally, we propose a new class of models which combine … producing accurate forecasts of the WTI spot price …

Abstract A nonparametric method for comparing multiple forecast models is developed and implemented. The hypothesis of … application to inflation forecasting reveals that a very large majority of thousands of forecast models are redundant, leaving …

at multiple horizons individually, we propose to jointly consider all horizons within a forecast path. We define the …

basis of available information at the time the budget is prepared; we find that the forecast error based is six times … greater than the error based on ex-post projection. These results imply that the forecast error predominantly reflects … are even more limited — based only on lagged tax revenues and a GDP growth forecast — provide less-accurate projections …

norm. Initially, the forecast errors are assumed to be unbiased, independent, and normally distributed. Each of these is … progressively relaxed. A new heteroscedasticity and autocorrelation consistent statistic for forecast comparison is derived. Finite … sample distributions are tabulated in a sequence of Monte Carlo exercises. Power is examined by comparing forecast errors …

This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new …