This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity … avoid obfuscation of the sources of forecast ability, the model is intentionally kept simple, although extensions for … improving and increasing the robustness of the forecast procedure are also discussed. …

an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high …-volatility periods. The biggest forecast improvements are obtained by modelling time variation in the volatilities of the innovations … exchange rate predictability by macroeconomic fundamentals. Finally, an economic evaluation of the different forecast models …

estimates. We formally test the forecast performance of pooled vs. heterogeneous estimators over a hold-back period and find …

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …