judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector … underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Nonlinear time series models have become fashionable tools to describe and forecast a variety of economic time series … reasons for this finding is that inappropriate model selection criteria and forecast evaluation criteria are used. In this … found to perform better in out-of-sample forecasting than a benchmark linear model. An empirical illustration for US GDP …

be used as actuals in current forecast evaluation. We allow for structural changes in the regression parameters to …

we analyse some recent developments from that perspective. The literature on forecast evaluation predominantly assumes … two forecasts in which: (i) the two forecasts are generated from two distinct econometric models; (ii) one forecast is … generated from an econometric model and the other is obtained as a combination of a model, the other forecast, and intuition …

Macroeconomic forecasting is not an easy task, in particular if future growth rates are forecasted in real time. This … reported by the Conference Board. Not surprisingly, all forecast methods improve considerably if `ex post' data are used, after …

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR … used to forecast VaR thresholds under a variety of distributional assumptions. The results suggest that, within the current …

part focus on the development of models and methods for forecasting. The key question was whether one believes that the … forecasting discipline has made progress in the last three decades. Amongst various results, the most important one is that modest …

This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using … models with smaller forecast errors than previously used methods. …