We construct an empirical heterogeneous agent model which optimally combines forecasts from fundamentalist and chartists agents and evaluate its out-of-sample forecast performance using daily date covering the period from January 1999 to June 2014 for six of the most widely traded currencies. We...

We use data from the London Metal Exchange (LME) to forecast monthly copper returns using the recently proposed dynamic model averaging and selection (DMA/DMS) framework, which incorporates time varying parameters as well as model averaging and selection into one unifying framework. Using a...

We contribute to the growing empirical literature on monetary and fiscal interactions by applying a sign restriction identification scheme to a structural TVP-VAR in order to disentangle and evaluate the policy shocks and policy transmissions. This in turn allows us to study the Great Recession...