Forecasting oil prices has been of great interests for macroeconomists in the recent years. Our article contributes to this strand of the literature by using a dynamic model averaging (DMA) method to improve forecasting accuracy of real oil prices. The advantage of DMA is that the method...

We develop a novel method to impose constraints on univariate predictive regressions of stock returns. Unlike the previous approaches in the literature, we implement our constraints directly on the predictor, setting it to zero whenever its value falls below the variable's past 12-month high....