This paper examines the dynamics of the covariance matrix of return rates for securitized real estate, other company stocks, and government bonds for a cross-section of eight countries. In-sample analysis establishes that in all countries the covariance matrix is time-varying and reacts stronger...

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 letter evaluates forecasts from probit models that use the slope of the yield curve to forecast recessions. These models give reliable non-probabilistic warnings of recessions, but the estimated probabilities do not match the conditional frequency of recession months.

Forecast adjustment commonly occurs when organizational forecasters adjust a statistical forecast of demand to take into account factors which are excluded from the statistical calculation. This paper addresses the question of how to measure the accuracy of such adjustments. We show that many...

We propose new methods for evaluating predictive densities. The methods include Kolmogorov-Smirnov and Cramer-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...

We investigate the directional accuracy of GDP and price forecasts by the Japanese government and the IMF with a new method developed by Pesaran and Timmermann [Pesaran, M.H., Timmermann, A., 2009. Testing dependence among serially correlated multi-category variables. Journal of the American...

The size and power properties of several tests of equal Mean Square Prediction Errors (MSPE) and of Forecast Encompassing (FE) are evaluated, using Monte Carlo simulations, in the context of nested dynamic regression models. The highest size-adjusted power is achieved by the F-type test of...

This paper explores the gains from combining expert forecasts from the ECB Survey of Professional Forecasters (SPF). The analysis encompasses combinations based on principal components and trimmed means, performance-based weighting, and least squares estimates of optimal weights, as well as...