Baumeister, Christiane; Kilian, Lutz - Center for Financial Studies - 2013
-time econometric oil price forecasting models. We investigate the merits of constructing combinations of six such models. Forecast … combinations have received little attention in the oil price forecasting literature to date. We demonstrate that over the last 20 …%. The gains in accuracy are robust over time. In contrast, the EIA oil price forecasts not only tend to be less accurate …