A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and,...

This paper explores the usefulness of bagging methods in forecasting economic time series from linear multiple regression models. We focus on the widely studied question of whether the inclusion of indicators of real economic activity lowers the prediction mean-squared error of forecast models...