pattern that is consistent with Hicks' composite-good theorem and that may be used for forecasting. To determine whether one …

models and nonlinearity biases from empirical forecasts of U.S. external trade. Previous studies have examined properties … such as nonlinearity bias and the possible nonmonotonicity and nonexistence of mean square forecast errors in isolation … from other aspects of the forecasting process, resulting in inefficient forecasting techniques and seemingly puzzling …

Exchange rate forecasting is hard and the seminal result of Meese and Rogoff (1983) that the exchange rate is well … constructing other forecasting models. However, in several other macro and financial forecasting applications, researchers in … recent years have considered methods for forecasting that combine the information in a large number of time series. One …

construct volatility forecasts, which compare favorably with some leading alternatives in an out-of-sample forecasting exercise. …

forecasting ability of three more sophisticated models (two GARCH models and a two-state Markov switching model) and two simple …

information that would be valuable in forecasting changes in exchange rates. The conclusions are limited, however, by the …