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Forecasting commodity price indexes using macroeconomic and financial predictors · Study

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ArticleForecasting commodity price indexes using macroeconomic and financial predictors

Antonio Gargano2014

Article2014

Forecasting commodity price indexes using macroeconomic and financial predictors

Antonio Gargano · Allan Timmermann

177 citations·0/0 files stored·International Journal of Forecasting

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Market Dynamics and Volatility Monetary Policy and Economic Impact Forecasting Techniques and Applications

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References

2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 2006Approximately normal tests for equal predictive accuracy in nested models 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy 2001A real-time data set for macroeconomists 2010What do we learn from the price of crude oil futures?2010Can Exchange Rates Forecast Commodity Prices? *2010Time-varying short-horizon predictability☆

Cited by

2022Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities 2016Predicting the oil prices: Do technical indicators help?2019The economic drivers of commodity market volatility 2018Forecasting the aggregate oil price volatility in a data-rich environment 2021Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era

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Year2014

Typearticle

Published2014-01-16

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations177

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.ijforecast.2013.09.003

openalex_workW2037889385

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2019

Forecasting commodity prices out-of-sample: Can technical indicators help?

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2017Variance risk in commodity markets