is assessed in forecasting three major macroeconomic time series of the UK economy. Databased restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to …

– 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …

This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting …

changes in the dynamics of the series, for specifying models parsimoniously, and may be helpful in forecasting. We propose the …

This paper compares the forecasting performance of different models which have been proposed for forecasting in the … forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of …

This paper compares the performance of "aggregate" and "disaggregate" predictors in forecasting contemporaneously … aggregated vector ARMA processes. An aggregate predictor is built by forecasting directly the aggregate process, as it results … sufficient (not necessary) for the equality of mean squared errors. Finally, it is shown that the equality of forecasting …

-term contracts and the new model achieves higher forecasting performance compared to a standard DCC model. …

functions and to the quality of the proxy. An application to three foreign exchange rates, where we compare the forecasting …