We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH … nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models. …

-term forecasting of employment in Switzerland aggregated in the KOF Employment Indicator. We use the real time dataset in order to … forecasts. -- Business tendency surveys ; Forecasting ; Real-time data ; Bayesian model averaging ; Employment …

forecasting performance of selected models showing that they perform better when these factors are considered. …

This Paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting … only across regimes. In practice, where information on structural breaks is uncertain, a forecasting procedure based on … experiments and an empirical application to forecasting real GDP using the yield curve across nine industrial economies. …