We introduce a frequency-domain forecast combination method that leverages time- and frequencydependent predictability …

We introduce a frequency-domain forecast combination method that leverages time- and frequencydependent predictability …

Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the …. Combining forecasts in the frequency domain produces markedly more accurate predictions relative to the standard forecast … combination in the time domain, both in terms of statistical and economic measures of out-of-sample predictability. In a real …

combination weights. I use an optimization problem based on asymmetric loss functions in deriving optimal forecast combination …-life scenarios involving economic forecasts. This paper uses a regime switching framework to model the time-variation in forecast …