In the trade-off between bidding in the day-ahead electricity market and the real time balancing market, producers need good forecasts for balancing market prices to make informed decisions. A range of earlier published models for forecasting of balancing market prices, including a few...

This discussion paper resulted in a publication in the 'Journal of Economic Dynamics and Control' (forthcoming).<P> This paper develops a testing framework for comparing the predictive accuracy of copula-based multivariate density forecasts, focusing on a specific part of the joint distribution....</p>

In this paper we evaluate exchange rate predictability using a framework developed by Giacomini and White (2006). This new framework tests for conditional predictive ability rather than unconditional predictive ability, which has been the standard approach. Using several shrinkage based...

The state of the equity market, often referred to as a bull or a bear market, is of key importance for financial decisions and economic analyses. Its latent nature has led to several methods to identify past and current states of the market and forecast future states. These methods encompass...

We propose new methods for evaluating predictive densities. The methods include Kolmogorov-Smirnov and Cramér-von Mises-type tests for the correct specification of predictive densities robust to dynamic mis-specification. The novelty is that the tests can detect mis-specification in the...

This paper presents a method to conduct early estimates of GDP growth in Germany. We employ MIDAS regressions to circumvent the mixed frequency problem and use pooling techniques to summarize efficiently the information content of the various indicators. More specifically, we investigate whether...

Growth rate data that are collected incompletely in cross-sections is a quite frequent problem. Chow and Lin (1971) have developed a method for predicting unobserved disaggregated time series and we propose an extension of the procedure for completing cross-sectional growth rates similar to the...

We propose methods to evaluate the risk assessments collected as part of the ECB Survey of Professional Forecasters (SPF). Our approach focuses on direction-of-change predictions as well as the prediction of relatively more extreme macroeconomic outcomes located in the upper and lower regions of...

In this paper we introduce Quasi Likelihood Ratio tests for one sided multivariate hypotheses to evaluate the null that a parsimonious model performs equally well as a small number of models which nest the benchmark. We show that the limiting distributions of the test statistics are non...