returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …

This study applies a model averaging approach to conditionally forecast housing investment in the largest euro area … investment which calls for country-specific housing market policies. A pseudo out-of-sample forecast exercise shows that our …. This suggests that there is ample scope for model averaging tools in forecast exercises, notably as they also help to …

quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …

parametric discrete time series models estimated with Bayesian methods. The subset of variables may vary across forecast horizons …

the forecast exercise and for the full sample. However, the rational expectations model typically predicts real GDP growth … forecast horizon, while the adaptive learning model predicts better for the outer quarters …

This paper evaluates how well sectoral stock prices forecast future economic activity compared to traditional … prices in general provide more accurate forecasts than traditional asset price measures across all forecast horizons …

of a forecast breakdown in the Phillips' curve forecasts of U.S. inflation, and links it to inflation volatility and to …We propose a theoretical framework for assessing whether a forecast model estimated over one period can provide good … forecasts over a subsequent period. We formalize this idea by defining a forecast breakdown as a situation in which the out …

including the global financial crisis with its extraordinary volatility in inflation. Overall, we find that forecast combination …The period of extraordinary volatility in euro area headline inflation starting in 2007 raised the question whether … forecast combination methods can be used to hedge against bad forecast performance of single models during such periods and …