-term predictions. Due to the characteristics of the residuals, a bootstrapping method of forecasting was also used, yielding even …

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …

the beginning of 2018. They also have performed well in forecasting the direction of inflation. In terms of the …

selecting the best forecasting model class in finite samples of practical relevance. Flanking such a horse race by predictive …

as benchmark. Finally, we replicate the forecasting experiment including as predictors both an indicator of unemployment …

during unstable periods, such as the Great Recession, but also remain over more tranquil periods. …

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 … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

This paper conducts a broad-based comparison of iterated and direct multi-period forecasting approaches applied to both … correlation in the residuals of the multi-period direct forecasting models we propose a new SURE-based estimation method and … and Watson (2006) shows that information in factors helps improve forecasting performance for most types of economic …