The evaluation of multi-step-ahead density forecasts is complicated by the serial correlation of the corresponding …

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role … application to in- and out-of-sample one-step-ahead density forecasts of daily returns on the S&P 500, DAX and ATX stock market … provide some evidence that GARCH-t models provide good density forecasts. The results further suggest that extensions of …

Empirica and Applied Economics Letters. Second, we analyse forecasts of GDP growth and CPI inflation in Germany, published in … Consensus Forecasts. There are two main findings: The relative frequencies of the first and second digits in economic research … are broadly consistent with Benford's law. In sharp contrast, the second digits of Consensus Forecasts exhibit a massive …

Macroeconomic risk assessments play an important role in the forecasts of many institutions. However, to the best of … our knowledge their performance has not been investigated yet. In this work, we study the Bank of England?s risk forecasts … for inflation. We find that these forecasts do not contain the intended information. Rather, they either have no …

Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related … forecasts can be tested. We find that the Pearson mode skewness outperforms the standard third-moment-based skewness as a …

to their macroeconomic forecasts. Often the balance of these risks is assessed as well. Upward [downward] risks to the … risk forecasts of the Bank of England and the Sveriges Riksbank, however, we do not find conclusive evidence for … whether macroeconomic risk forecasts are meaningful. …