Ercio A. Munoz
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.