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 …-Wide Model (NAWM) that has been designed for use in the macroeconomic projections at the European Central Bank. The forecast …

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

This paper analyzes the forecasting performance of an open economy dynamic stochastic general equilibrium (DSGE) model … model to various reduced-form forecasting models such as vector autoregressions (VARs) and vector error correction models … forecasting performance. …

We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH … nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models. …

-level conflict is maintained and momentum toward either all-out war or dramatic peace is slowed. In addition, a forecasting model …

This paper compares the forecasting performance of different models which have been proposed for forecasting in the … forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of …