We investigate forecasting in models that condition on variables for which future values are unknown. We consider the … is extended by allowing for a structural break, either in the first forecast period or just before. Theoretical results … simulation experiment. The results show that the trade-off for selecting variables in forecasting models in a stationary world …

variables compared to standard, univariate, forecasting methods. We evaluate the impact of using combined information in the …

vector regression (SVR) model to forecast realized volatility (RV). The first model is a residual-type model, where the RV is … giving different weights to each model. In particular, four volatility models are used in RV forecasting as basic models. For …

financial index price forecasting. …

model is demonstrated by analyzing the pre- and post-financial crisis periods for forecasting exchange rates. The out …-of-sample forecast results reveal that the best performing model is the symmetric model with no interest rate smoothing, heterogeneous … effective. However, the post-financial crisis period shows that the Taylor rule is ineffective in forecasting exchange rates. In …