Rue Robert d'arbrissel, 2
Rennes, 35000
France
Rennes School of Business
Commodity futures returns; Predictability; Asset allocation; Macroeconomic risk; Intertemporal pricing
Commodity futures, Return predictability, Asset allocation, Business cycle, Intertemporal asset pricing
Portfolio choice, Asset classes, Spanning tests, Predictability, Performance evaluation
Averaged crude oil prices; Spurious autocorrelation; Return predictability; Out-of-sample forecasts; Statistical inference
Monthly average and end-of-month crude oil prices; Oil price predictability; Forecast combinations; Out-of-sample forecast performance; Hedging and investment decisions