-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …

quite rapidly with the forecast horizon, and (b) AugGVAR forecasts do as well as other data-rich forecasting techniques for … short horizons, and tend to do better for longer forecast horizons. …

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 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 …

realized sales, we document that only major forecast errors are predictable and display autocorrelation. This result is a … forecast errors are neither predictable nor autocorrelated. To arrive at this result, we develop a novel methodology to … environments where information processing is more costly. This results in major forecast errors that are predictable and …

growth, inflation, and unemployment over 1985-2020, we find pervasive overreaction to news at most of the monthly forecast …

We examine forecast accuracy and efficiency of the Social Security Administration's projections for cost rate, trust …

forecasts based on pooled and individual estimates and develop a novel forecast poolability test that can be used as a … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

the US and develop a new approach for measuring the social value of forecast improvements. We find that pre …-landfall federal protective expenditures exponentially increase with the forecast wind speed and with the degree of uncertainty about … the forecast. Correspondingly, we find that forecast errors are costly: underestimating wind speed results in damages and …