financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some … counterparts. Although we find evidence of some forecasting gains from nonlinear models, the results are sensitive to the forecast … horizon and to the metric adopted to measure the forecasting accuracy. The use of data at different frequencies allows us to …

. The out-of-sample forecasting performance of the TVP-VAR model is evaluated against the simple VAR and ARIMA models, by …

, estimation method or the forecasting horizon) outperform the random walk in out-of-sample forecasting if forecasting power is …

forecasting models reduces forecast errors compared with a single model. …

forecasting models reduces forecast errors compared with a single model. …

Forecasting exchange rate movements is challenging, as they exhibit high volatility, complexity and noise. Most …