Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets

DOI10.2202/1558-3708.1037MaRDI QIDQ3368219zbMATH OpenOpenAlexFDO

Authors Tian Zeng, Norman R. Swanson

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1037

zbMATH Keywords

cointegrationforecastingfutures market

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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• Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help?
• Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities
• On the Predictive Information of Futures' Prices: A Wavelet‐Based Assessment
• Short-run price forecast performance of individual and composite models for 496 corn cash markets

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