information criteria. Then one-step ahead forecasts have been generated. It was found, that the ARs generate the best forecasts at …

forecasts (bottom-up approaches). Overall, all methods perform better than a simple benchmark for short horizons (up to three … out-perform bottom-up ones for real variables, but not for prices. Finally, when country-specific forecasts are adjusted … to match direct forecasts at the aggregate levels (top-down approaches), the forecast accuracy is neither improved nor …

from an aggregation of country-specific forecasts. Factor models in particular prove rather accurate, where the factors …

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test … relevance to account for serial correlation in economic time series when testing for the value of directional forecasts. …

economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that … directional forecasts can provide a useful framework to assess the economic forecast value when loss functions (or success … general approach to evaluate (directional) forecasts which is simple to implement, robust to outlying or unreasonable …

In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of … single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord …, or more generally, on combined forecasts of single models, is straightforward to incorporate into existing computer …