Real-time forecast combinations for the oil price

OIL PRICE FORECASTS FOR THE LONG TERM: EXPERT … Using the regular publications by the Energy Information Administration (EIA), we examine the accuracy of annual recursive oil price forecasts generated by the National Energy Modeling System model of the Agency for forecast horizons of up to 15 years. Major Currency Pairs: A Guide to the Most Traded Forex Pairs

Real‐time forecast combinations for the oil price ... Nov 26, 2018 · We model the oil price futures curve using a factor‐based Nelson–Siegel specification estimated in real time to fill in missing values for oil price futures in the raw data. We find that the combined forecasts for Brent are as effective as for other oil price measures. Real‐time forecast combinations for the oil price Downloadable! Baumeister and Kilian (Journal of Business and Economic Statistics, 2015, 33(3), 338–351) combine forecasts from six empirical models to predict real oil prices. In this paper, we broadly reproduce their main economic findings, employing their preferred measures of the real oil price and other real‐time variables. Mindful of the importance of Brent crude oil as a global price

Quarterly updated research briefings, two-year ahead forecasts and real-time scenario analysis on price movements, geopolitics, OPEC and non-OPEC supply , 

Mindful of the importance of Brent crude oil as a global price benchmark, we extend consideration to the North Sea based measure and update the evaluation sample to 2017:12. We model the oil price futures curve using a factor-based Nelson-Siegel specification estimated in real time to fill in missing values for oil price futures in the raw data. REAL-TIME FORECAST COMBINATIONS FOR THE OIL PRICE Real-time Forecast Combinations for the Oil Price – Discussion Paper no.494 National Institute of Economic and Social Research Real-time Forecast Combinations for the Oil Price Anthony Garratt, Shaun P. Vahey, Yunyi Zhang Abstract Baumeister and Kilian (2015) combine forecasts from six empirical models to predict real oil prices. Are there Gains from Pooling Real-Time Oil Price Forecasts? The MSPE of real-time pooled forecasts is between 3% and 29% lower than that of the no-change forecast and its directional accuracy as high as 73%. Our results are robust to alternative oil price measures and apply to monthly as well as quarterly forecasts. We illustrate how forecast pooling may be used to produce real-time forecasts of the real

Keywords: oil prices, forecast, OPEC, World Texas Intermediate, fracking. JEL Codes: C54 6.3.3 Combination of inventory and OPEC behaviour models . So, the literature is extensive but varied at the same time due to the difficulty international market, so it is equivalent to say that the real barrel price has diminished.

Forecasting the real price of oil in a changing world: A forecast combination approach . We investigate the merits of constructing real-time forecast combinations of six such models with weights that reflect the recent forecasting success of each model. Forecast combinations are promising for four reasons.

Nov 26, 2018 · We model the oil price futures curve using a factor‐based Nelson–Siegel specification estimated in real time to fill in missing values for oil price futures in the raw data. We find that the combined forecasts for Brent are as effective as for other oil price measures.

Oct 16, 2019 · We illustrate how forecast pooling may be used to produce real-time forecasts of the real and the nominal price of oil in a format consistent with that employed by the U.S. Energy Information Administration in releasing its short-term oil price forecasts and we compare these forecasts during key historical episodes. WORKING PAPER SERIES Recently, several studies have proposed methods to improve oil price projections, ranging from simple forecasting rules to complex estimated models or model combinations which improve the oil price forecast to some extent (e.g. Alquist et al. 2013, Baumeister and Kilian 2012, 2014a).

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Forecasting the Real Price of Oil in a Changing World: A ... Recently, a number of alternative econometric oil price forecasting models has been introduced in the literature and shown to be more accurate than the no-change forecast of the real price of oil. We investigate the merits of constructing real-time forecast combinations of six such models. Forecast combinations are promising for four reasons. Are Product Spreads Useful for Forecasting Oil Prices? An ...