Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general …. In Bayesian forecasting, one simply takes a subset of the unknown quantities to be future values of some variables of … interest. This chapter presents the principles of Bayesian forecasting, and describes recent advances in computational …

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. …

This paper develops univariate (ARIMA and ARCH/GARCH) and multivariate models (VAR, VECM and Bayesian VAR) to forecast … forecasting performance of Bayesian VAR models is satisfactory for most interest rates and their superiority in performance is …

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … Likelihood of the model. Focusing on the US, we provide an extensive study on the forecasting performance of the proposed model …

In this paper we discuss how the forecasting performance of Bayesian VARs is affected by a number of specification … lag length and of both; compare alternative approaches to h-step ahead forecasting (direct, iterated and pseudo …