Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil … been applied to oil price forecasting, by allowing for sequentially updating of time-varying combination weights …-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach …