Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the … frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate …. Combining forecasts in the frequency domain produces markedly more accurate predictions relative to the standard forecast …

We introduce a frequency-domain forecast combination method that leverages time- and frequencydependent predictability … to enhance forecast accuracy. By decomposing both the target variables (equity premium and real GDP growth) and predictor …-frequency components further enhances forecast precision. Overall, these findings highlight the value of frequency-domain forecasting in …