rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …

forecast combination literature, the effects of model and estimation uncertainty on forecast outcomes are examined by pooling …

modeling, we construct the area-wide indicators by utilizing weights that minimize the variance of the out-of-sample forecast … errors of the area-wide target variable. In an out-of-sample forecast experiment we find that our optimal pooling of … information approach outperforms alternative forecasting methods in terms of forecast accuracy. …

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …

based on volatility updating and nonparametric mirrored historical simulation. ES backtesting results are similar to VaR …

their location, spread, skew and tail risk on density forecast performance. Overall, we find considerable heterogeneity in … forecast horizon. In addition, relative to the proposed benchmarks, we report evidence of some improvement in the performance … of expert densities during the recent period of macroeconomic volatility. However, our analysis also reveals clear …