De Pooter, Michiel; Ravazzolo, Francesco; van Dijk, … - 2010
We examine the importance of incorporating macroeconomic information and, in particular, accounting for model … well in low-volatility subperiods such as the late 1990s. We demonstrate that this problem of model uncertainty can be … mitigated by combining individual model forecasts. Combining forecasts leads to encouraging gains in predictability, especially …