literature was found to have promising forecasting abilities, it is possible to further improve the performance if the … coefficient adjustment. With this calibration of the Kalman filter model the short-term out-ofsample forecasting accuracy can be …

work on rolling window averaging by Pesaran et al (2010, 2009) and on exchange rate forecasting by Molodtsova and Papell … minimizes the pitfalls associated with potential structural breaks. Exchange rate forecasting, inflation forecasting, output … growth forecasting, rolling window, model averaging, short horizon, robustness. …

predicted by economic theory. By contrast, several macroeconomic variables commonly thought to be linked to real exchange rates …

In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto …

This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting … various prior specification choices on the relative and overall forecasting performance of the methods. The data set is a …