Financial crises pose unique challenges for forecast accuracy. Using the IMF's Monitoring of Fund Arrangement (MONA … informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for … improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of …

react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …

similar to the nowcast and forecast errors made during the financial crisis and following recovery seems to produce the best …

react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …

environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …

different penalized logistic regression models over different forecast horizons largely outperform standard logistic regression … models in the prediction of Great recession in the US, as they achieve higher predictive accuracy across 4 different forecast …

securitized mortgages in the United States resulted in a liquidity crisis. World stock markets peaked in October 2007 and then …, the world stock markets have rebounded, but strong uncertainties still remain. In order to get more insights into the … current world markets operation, we consider log-periodic models of price movements, which has been largely used in the past …

-excitation for these series. Out-of-sample, we find that the models that include spillover effects forecast crashes and the Value …