Previous studies document statistically significant evidence of crude oil return predictability by several forecasting variables. We suggest that this evidence is misleading and follows from the common use of within-month averages of daily oil prices in calculating returns used in predictive...

We study the out-of-sample predictability of the real price of crude oil using forecast combinations constructed from several individual predictors. We find that forecasts of themonthly average price of oil are more accurate than the no-change forecast at horizons ranging from 1 to 24 months...

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to...

We develop a new methodology to analyse spillovers between the real and financial sides of the economy that employs a mixed-frequency modelling approach. This enables high-frequency financial and low-frequency macroeconomic data series to be employed directly, avoiding the data aggregation and...