variables, model it using a dynamic factor model, and compare the resulting forecasts with those from a set of standard time …, the factor-based forecasts are shown to improve upon standard benchmarks for prices, real aggregates, and financial …

performance of factor models. We complement the analysis with an empirical evaluation of forecasts for the key macroeconomic … factor-based forecasts in short samples with structural change. …

series. Using in-sample regressions and out-of sample forecasts, we show that the predictive power of leverage is roughly …

series. Using in-sample regressions and out-of sample forecasts, we show that the predictive power of leverage is roughly …

This book brings together domains in financial asset pricing and valuation, financial investment theory, econometrics … performing financial forecasts or empirical modeling who will find it refreshing to see how forecasting is not simply running a …

In this paper we assess the possibility of producing unbiased forecasts for fiscal variables in the euro area by … ARMA models, VARs, small scale semi-structural models at the national and euro area level, institutional forecasts (OECD … unbiased forecasts, or slightly upward biased forecast for the debt-GDP dynamics. This result is mostly due to the short sample …

squared error (PMSE) in simulated out-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using …