of empirical evidence against the ET. Yield spreads do provide important information for forecasting the yield curve …

series, there is no clear consensus regarding the forecasting abilities of these models. In this paper we develop a general … approach to predict multiple time series subject to Markovian shifts in the regime. The feasibility of the proposed forecasting …

We defend the forecasting performance of the FOMC from the recent criticism of Christina and David Romer.  Our argument …

When breaks occur, equilibrium-correction models (EqCMs) based on cointegration face forecasting problems.  We …

benchmark, we find some evidence that more sophisticated realized measures significantly outperform 5-minute RV.  In forecasting …

and forecasting time series of economic functions.  The underlying, continuous economic function (or 'signal') is a … and its dynamics as the cross-sectional dimension N becomes large, and can feasibly be estimated and used for forecasting … to forecasting 36-dimensional yield curves for US Treasury bonds at the one month ahead horizon.  The method consistently …

We investigate alternative robust approaches to forecasting, using a new class of robust devices, contrasted with … equilibrium correction models.  Their forecasting properties are derived facing a range of likely empirical problems at the … methods are likely to perform well.  The robust methods are applied to forecasting US GDP using autoregressive models, and …

of sample forecasting performance to the end of 2007 is examined.  Aggregating the weighted sub-component forecasts … indicates gains are made over forecasting the overall index using these methods, and also substantial gains over forecasting … policy, regulatory information and announced administred price rises, should further enhance these forecasting methods. …