) persistence anomaly remains robust to several alternative capital specifications including set-ups with variable capital …

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

Recent studies document the deteriorating performance of forecasting models during the Great Moderation. This …

This paper investigates the forecasting accuracy of the trimmed mean inflation rate of the Personal Consumption … Expenditure (PCE) deflator. Earlier works have examined the forecasting ability of limited-influence estimators (trimmed means and …

-of-sample interval forecasting. Most studies in the literature focus on point forecasts. In this paper, we apply Robust Semi …-parametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are … fundamentals: economic variables contain information useful in forecasting the distributions of exchange rates. The benchmark …