This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … forecasting models such as vector autoregressions (VAR) and vector error correction models (VECM), estimated both by maximum …-dimensional summaries, e.g. the log determinant statistic, as measures of overall forecasting performance. …

historical by nature such as different GARCH models. I find that implied volatility has predictive power in forecasting future …

In this paper we evaluate the out of sample forecasting performance of a large number of models belonging to a popular …