other sources of information. The combination weights are time-varying and may depend on past predictive forecasting … Monte Carlo algorithms to filter the time-varying combination weights. The DeCo procedure has been implemented both for … with a speed up of the execution time up to seventy times compared to a standard CPU Matlab implementation on a multicore …

be incomplete. Several multivariate time-varying combination strategies are introduced. In particular, a weight dynamics … assessed using statistical and utility-based performance measures for evaluating density forecasts of US macroeconomic time …

logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances …

state space representation of the combination weights. Several specifications of multivariate time-varying weights are … the beginning of the 90's and switches to giving more weight to the professional forecasts over time. …

In this paper I present a real-time estimation of the evolution of the Investment, constructed from a broad set of high …

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative … less demanding than existing methods. The approach is illustrated on nonlinear discrete time series models and models with …

apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time series. Our …