This paper applies combining forecasts of air travel demand generated from the same model but over different estimation windows. The combination approach used resorts to Pesaran and Pick (2011), but the empirical application is extended in several ways. The forecasts are based on a seasonal...

Empirical evidence suggests that many macroeconomic and financial time series are subject to occasional structural breaks. In this paper we present analytical results quantifying the effects of such breaks on the correlation between the forecast and the realization and on the ability to forecast...

Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that the autoregressive representations of many macroeconomic and financial time series are likely to be subject to structural...

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

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 exponential down-weighting. However, these studies...

In this paper, we have considered three important variables concerning COVID-19 viz., (i) the number of daily new cases, (ii) the number of daily total cases, and (iii) the number of daily deaths, and proposed a modelling procedure, so that the nature of trend in these series could be studied...

Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. We show that such a procedure gives rise to spurious evidence of predictive power. A simulation study demonstrates that even when using this...

This paper investigates fundamentals-based exchange rate predictability from a different perspective. We focus on predicting currency swings (major trends in depreciation or appreciation) rather than on quantitative changes of exchange rates. Having used a nonparametric approach to identify...

This paper investigate the time series properties and predictability of daily percentage changes in the Pakistani rupee exchange rate with respect to the currencies of major trading partner country USA. The daily data is used for the time period of October 1988 to April 2012. In this study, we...