Bianco, Marcos dal; Camacho, Maximo; Perez-Quiros, Gabriel - Banco de España - 2012
importantly, encouraging outof-sample forecasting results at horizons ranging from one week to one month. Specifically, we obtain … statistically significant improvements upon the hard-to-beat random walk model using traditional statistical measures of forecasting … economic relevance than other loss measures. With this measure, our model performs much better at all forecasting horizons than …