Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … for forecasting weekly and monthly horizons. …

benchmarks in terms of point and density forecasting. The gains are particular high when the full distribution is predicted and …

This paper is concerned with forecasting univariate seasonal time series data using periodic autoregressive models. We …

. Furthermore, when comparing the whole forecasting period; model combination outperforms Norges Banks own point forecast for … and data to be used in the forecasting process. …

This paper examines the predictive power of weather for electricity prices in day-ahead markets in real time. We find … that next-day weather forecasts improve the forecast accuracy of day-ahead electricity prices substantially, suggesting … electricity prices can be further exploited by allowing for non-linear effects of the weather forecasts. …

economy gradually, then order flow can have both explanatory and forecasting power for exchange rates. Using one year of high …