forecasts based on exponential down-weighting critically depends on the choice of the weighting coefficient. The forecasting … techniques are applied to monthly inflation series of 21 OECD countries and it is found that average forecasting methods in …

forecasts based on exponential down-weighting critically depends on the choice of the weighting coefficient. The forecasting … techniques are applied to monthly inflation series of 21 OECD countries and it is found that average forecasting methods in …

This paper conducts a broad-based comparison of iterated and direct multi-period forecasting approaches applied to both … correlation in the residuals of the multi-period direct forecasting models we propose a new SURE-based estimation method and … and Watson (2006) shows that information in factors helps improve forecasting performance for most types of economic …

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single …

data using economic variables and Google online search data. An out-of-sample forecasting comparison with forecast horizons …

Is univariate or multivariate modelling more effective when forecasting the market risk of stock portfolios? We examine … this question in the context of forecasting the one-week-ahead Expected Shortfall of a portfolio invested in the Fama … significant differences between the forecasting accuracy of the two approaches. This result suggests that univariate models, which …