Since the introduction of autoregressive conditional heteroscedasticity (ARCH) by Engle, there has been considerable interest in econometrics in models in which the variance of the current observation is a function of past observations. A difficulty in applying the ARCH model and other types of...

This book's contributors assess the performance of economic forecasting methods, argue that data can be better exploited through model and forecast combination, and advocate for models that are adaptive and perform well in the presence of nonlinearity and structural change.