combine the best forecasting tools with the possibility of incorporating their own judgement. In this context, we provide …

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

Forecasting exchange rate movements is challenging, as they exhibit high volatility, complexity and noise. Most …

model forecast should become the benchmark for forecasting horse races. We compare the real-time forecasting accuracy of the … forecasting models is efficient. Our second finding is that there is no single best forecasting method. For example, typically … simple AR models are most accurate at short horizons and DSGE models are most accurate at long horizons when forecasting …

While forecasting is a common practice in academia, government and business alike, practitioners are often left … wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we … time series, and the forecasting performance is often quite sensitive to the choice of such window size. In this paper, we …

for forecasting GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First we … forecast revisions. Third we design a pseudo out of sample forecasting exercise and examine point and density forecast accuracy …