Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more efficient...

This paper evaluates the forecast performance of boosting in comparison to the forecast combination schemes and dynamic factor models presented in Stock and Watson (2006). We find that boosting is a serious competitor for forecasting US industrial production.