Evaluating the Forecasting Performance of Commodity Futures Prices

Can Futures Prices Predict the Real Price of Primary Commodities?

We consider seventeen primary commodities across energy, metals, and agricultural markets and find that futures-based forecasts of period averages outperform ...

Forecasting commodity prices in Brazil through hybrid SSA-complex ...

In such contexts, having efficient mechanisms to predict price trends may support optimal input allocation, agricultural investments, and hedging decisions.

Evaluating the Empirical Performance of Alternative Econometric ...

Different data frequencies seem to affect the forecasting ability of the models under analysis. Keywords: Oil Price, WTI Spot And Futures Prices, Forecasting, ...

Energy Price Volatility and Forecast Uncertainty1 - EIA

context for evaluating forecast performance. ... In Black's model, commodity futures prices are assumed to be log-normally distributed,.

Yellow corn wholesale price forecasts via the neural network

Through the analysis, the study shows usefulness of the neural network technique for commodity price forecasts. The results might serve as ...

Evaluating the Effectiveness of Modern Forecasting Models in ...

Predicting Commodity Futures Prices in Volatile Economic Times. Risks 11: 27 ... Forecasting commodity prices can affect the performance of companies.

Detecting Spot Price Forecasts In Futures Prices

erate detectable forecast power in the futures prices for agricultural commodities and animal products. ... The price-forecasting performance of futures markets.

Evaluating the Empirical Performance of Alternative Econometric ...

Different data frequencies seem to affect the forecasting ability of the models under analysis. Keywords: Oil Price, WTI Spot And Futures Prices, Forecasting, ...

Using Commodity Futures as a Price Forecasting Tool

Commodity futures prices can serve as a mecha- nism for price discovery for either present or expected future prices. A market is defined as efficient if it.

LNG Spot Price Forecasting and the Futures Curve

(2014). 'Back to the futures: an assessment of commodity market efficiency and forecast error drivers', ZEF Discussion Papers on Development ...

Relative Performance Evaluation of Competing Crude Oil Prices ...

With the increasing number of quantitative models available to forecast the volatility of crude oil prices, the assessment of the relative performance of ...

Forecasting the volatility of agricultural commodity futures: The role ...

All metrics of forecast evaluation across the model variants are largely similar whether or not oil futures is included. Thus, oil volatility ...

Machine Learning and Oil Price Point and Density Forecasting

Overall, the empirical results reveal a good performance of the machine learning methods in the short and medium horizons. Future oil prices and the Schwartz- ...

A combination method for interval forecasting of agricultural ...

Two agricultural commodity futures prices from Chinese futures market are used to justify the performance of the proposed VECM-MSVR method against selected ...

An Approach to Forecasting Commodity Futures Prices Using ...

... future price of commodities in the Brazilian market from technical analysis indicators. ... prediction performance for all commodities evaluated.

Oil Futures Prices: Is A Better Forecaster Available?

Due to the low forecast accuracy of futures prices, various central banks and academics have resorted to different estimation methods to improve ...

Forecasting realized volatility of crude oil futures prices based on ...

As a tangible quantification of uncertainty, the measuring, understanding, and modeling of volatility is a cornerstone of comprehending ...

EMPIRICAL ANALYSIS OF LONG MEMORY AND ASYMMETRY ...

Defining long-range dependence within the scope of price volatility on commodity markets is of great importance form the point of view of forecasting, which, in ...

Commodity Market Forecasting using Natural Language Processing

Evaluate models on performance of explanations. Data. Table 1. Data ... Futures Prices. Numerical 1983 NA 17,891 prices. (a) Report example ...

Global Commodity Service - Oxford Economics

Monthly reports on commodity price trends and economic forecasts, as well as weekly briefings on the latest price action.