In this paper we study what professional forecasters predict. We use spectral analysis and state space modeling to decompose economic time series into a trend, business-cycle, and irregular component. To examine which components are captured by professional forecasters, we regress their...

We extend the class of dynamic factor yield curve models for the inclusion of macro-economic factors. We benefit from recent developments in the dynamic factor literature for extracting the common factors from a large panel of macroeconomic series and for estimating the parameters in the model....

We investigate the added value of combining density forecasts for asset return prediction in a specific region of support. We develop a new technique that takes into account model uncertainty by assigning weights to individual predictive densities using a scoring rule based on the censored...