regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …

This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … pseudo out-of-sample forecasting exercise with US real-time data yields that the mixed frequency VAR substantially improves …

encouraging. In a pseudo out-of-sample exercise, our approach beats relevant benchmarks for forecasting CPI inflation and an …

In this paper we suggest an approach to comparison of models' forecasting performance in unstable environments. Our … tracking how the relative forecasting performance of competing models evolves over time. We illustrate the suggested approach …

performance in forecasting macroeconomic variables and in matching survey forecasts. Our results indicate a great degree of …. Calibrations to match survey forecasts are found to be lower than those derived according to the forecasting performance …

We propose a Bayesian optimal filtering setup for improving out-of-sample forecasting performance when using volatile … high frequency data with long lag structure for forecasting low-frequency data. We test this setup by using real-time Swiss … indicator series for forecasting. …