group specifications and the models' out-of-sample forecasting performance confirms our model specification. …

portfolio risk forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS … risk forecasting for daily returns over 10 years for heterogeneous market environments including, for example, the COVID‐19 …

nowcasting and forecasting business cycle turning points. The results show evidence for the superior predictive power of our …

that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus … matrix of h-steps ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area … scope for improving the NAWM's forecasting performance. For example, the model is not able to explain the moderation in wage …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …

distribution. As an empirical illustration, we use euro area data and compare the forecasting performance of the New Area …