stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state …

GDP and other variables. The aim of this article is to evaluate the forecasting performance of the Central Bank of Brazil …

random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as …

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

from other aspects of the forecasting process, resulting in inefficient forecasting techniques and seemingly puzzling … forecasting process. …

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 …