Using a FAVAR Model for Forecasting Copper Prices

A FAVAR model can beat three simple benchmarks between 1 to 12 months ahead.

Forecast Combination for Oil Prices: Application and Evaluation of Methodologies

We conduct an exhaustive out-of-sample forecasting evaluation exercise for the monthly price of crude oil between 1992 and 2011.

An Evaluation of Forecasting Models for Copper Prices: Can we go beyond an Autoregression?

For one-quarter ahead forecasting horizon, time series models are an appropriate choice, while for longer horizons the reduced-form models seem to be the most suitable.