We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision-Recall Curve (PRC) both … ROC and inverted precision in PRC are analogous concepts, and their difference is determined by the interaction of sample … quantify the extent to which ROC could be exaggerating the true predictive value of the yield curve in predicting recessions. …

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

nowcasting and forecasting quarterly world GDP using mixed-frequency models. We find that a recently proposed indicator that …

Multiple Testing (OCMT) method. This procedure allows a natural distinction between the selection and forecasting stages. We … forecasting stage. The benefits of the proposed method as compared to Lasso, Adaptive Lasso and Boosting are illustrated by Monte … Carlo studies and empirical applications to forecasting monthly stock market returns and quarterly output growths. …

The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated … rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates … magnitude of portfolio drawdowns. -- exchange rate forecasting ; forecast evaluation ; conditioners ; quantitative models …

structure better than other indicators. -- leading indicators ; regional forecasting ; forecast evaluation ; forecast …

The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one … forecasting a wide range of macroeconomic variables. Moreover, we analyse to what extent its forecasting accuracy depends on the … commonly used information criteria. -- macroeconomic forecasting ; component-wise boosting ; large datasets ; variable …