assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …

matrix and averages model estimates across all data releases. Using standard forecasting and policy models to analyze … monetary authorities’ reaction functions, we show that this simple method can improve forecasting performance and provide …

This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence … Purchasing Managers Indices (PMIs) for forecasting global (48 countries) growth, and compare forecasts from AugGVAR models with a … number of data-rich forecasting methods, including Lasso, Ridge, partial least squares and factor-based methods. It is found …

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

aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed … theoretical setup and the forecasting results. …

to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing …

This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are … information approach outperforms alternative forecasting methods in terms of forecast accuracy. …