Forecasting crude oil futures market returns: A principal component analysis combination approach

Forecasting crude oil market volatility using variable selection and common factor

(2022) Yaojie Zhang et al.   INTERNATIONAL JOURNAL OF FORECASTING

Rolling window selection for out-of-sample forecasting with time-varying parameters

(2017) Atsushi Inoue et al.   JOURNAL OF ECONOMETRICS

Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach

(2017) Hai Lin et al.   MANAGEMENT SCIENCE

FRED-MD: A Monthly Database for Macroeconomic Research

(2016) Michael W. McCracken et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach

(2015) Christiane Baumeister et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Forecasting the Equity Risk Premium: The Role of Technical Indicators

(2014) Christopher J. Neely et al.   MANAGEMENT SCIENCE

Complete subset regressions

(2013) Graham Elliott et al.   JOURNAL OF ECONOMETRICS

Real-Time Forecasts of the Real Price of Oil

(2012) Christiane Baumeister et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Out-of-Sample Forecast Tests Robust to the Choice of Window Size

(2012) Barbara Rossi et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Forecasting economic time series using targeted predictors

(2008) Jushan Bai et al.   JOURNAL OF ECONOMETRICS