applied work. It has been recognized that a profound econometric analysis requires, besides the path forecast, a joint …

competing models and at various forecast horizons. Our findings show that the precision of fore- casts generated by the FCVAR … considered are generally ranked as the top four models in terms of forecast accuracy. Furthermore, the FCVAR model significantly … outperforms the standard cointegrated VAR (CVAR) model at all forecast horizons and the relative forecast improvement is highest …

applied work. It has been recognized that a profound econometric analysis often requires, besides the path forecast, a joint …

The main goal of this research is to construct and assess forecast intervals for monthly US/EURO foreign exchange rate … model for data starting with the first month of 1999. The forecast intervals are based on the prediction error of the …