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 …

This paper explores a range of different forecast methods for Brent oil prices and analyses their performance relative … across forecast horizons. To address this instability, we propose a forecast combination for predicting quarterly real Brent … generates forecasts whose performance is robust over time. The improvements in forecast accuracy and stability are noticeable in …

the no-change forecast. Our key finding is that substantial reductions in the mean-squared prediction error (MSPE) of … greater reductions in MSPEs are possible by constructing a pooled forecast that assigns equal weight to five of the most …

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

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

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 …

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 …

(systemic) risks. Forecasts are obtained from: (a) autoregressive and factor-augmented VARs with linear GARCH volatility (FAVARs …

that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility …We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the … the conceptually correct benchmark forecast uncertainty …