stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive …

and out-of-sample forecasting performance. Specifically, we construct a VAR model where the orthogonalised shocks feature …

straightforward posterior computation, they require minimal input by the user, and they result in shrinkage posterior representations …, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …