can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often …

range of conventional and alternative measures of forecasting accuracy. The results demonstrate that incorporating …, estimating these models in state-space form substantially improves forecasting accuracy to the extent that the model and random …

stochastic volatility models have the best fit and forecasting performance, hence superior neutral band estimates. …

forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …

There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such … as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we … incorporate Google search data into a Bridge Equation Model, a version of which usually belongs to the suite of forecasting models …

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …