This paper explores the forecasting performance of several non-linear models, namely GARCH, EGARCH, APARCH, which further utilize three distributions, namely the Gaussian normal, the Student-t and Generalized Error Distribution (GED). In order to evaluate the performance of the competing models...

We propose a new methodology to identify the sources of models’ forecasting performance. The methodology decomposes the models’ forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting performance, predictive content, and over-fitting....

We evaluate various models' relative performance in forecasting future US output growth and inflation on a monthly basis. Our approach takes into account the possibility that the models' relative performance can be varying over time. We show that the models' relative performance has, in fact,...

Inflation forecasts made 1999-2005 by Sveriges Riksbank and Konjunkturinstitet of Swedish inflation rates 1999-2007 are tested for unbiasedness; i.e., are the mean forecast errors zero? The bias is in the order of -0.1 percentage units for horizons below one year and in the order of 0.1 and 0.6...

In this paper we apply a dynamic factor model to generate out of sample forecasts for the inflation rate in Mexico. We evaluate the role of using a wide range of macroeconomic variables with particular interest on the importance of using CPI disaggregated data to forecast inflation. Our data set...

We propose a new approach to testing for predictive ability in the presence of structural breaks in data. Our approach extends the well-known results of West (1996) and West & McCracken (1998), and is alternative to methods developed in Giacomini & White (2006) and Giacomini & Rossi (2010).

The paper analyzes leading indicators for GDP and industrial production in Germany. We focus on the performance of single and pooled leading indicators during the pre-crisis and crisis period using various weighting schemes. Pairwise and joint significant tests are used to evaluate single...

This paper illustrates the importance of density forecasting in portfolio decision making involving bonds of different maturities. The forecast performance of an atheoretic and a theory informed model of bond returns is evaluated. The decision making environment is fully described for an...

This paper explores the forecasting performances of several non-linear models, namely GARCH, EGARCH, APARCH used with three distributions, namely the Gaussian normal, the Student-t and Generalized Error Distribution (GED). In order to evaluate the performance of the competing models we used the...