Oil Price Futures and Forecasts

From Econbrowswer –

Chinn and Coibion (2014) and subsequent analyses find futures do a fairly good job at prediction. Chinn and Coibion examined data up to 2012, for WTI, while Kwas and Rubszek (Forecasting, 2021) examined both WTI and Brent for 2000-March 2021. As noted in this post, futures improve upon a random walk for both RMSFE and direction of change at horizons up to a year.”

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Posted by at 9:49 AM

Labels: Forecasting Forum


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