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

interpreting economic forecasts. This framework's value is illustrated by re-examining mean square forecast errors from dynamic … 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 …

This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of … both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty …

should be taken into account. This paper applies the Kalman filter to improve the forecast accuracy of published preliminary …

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

A forecast of the correlation between two asset prices is required to price or hedge an option whose payoff depends on … factors make it difficult to evaluate forecasts of correlation. We develop a forecast evaluation methodology based on option … pricing, extending a technique that Engle et al. (1993) introduced to evaluate volatility forecasts. A forecast of the …

whether the recent profitability of banks' foreign exchange trading is due to superior abilities to forecast exchange rate … information that would be valuable in forecasting changes in exchange rates. The conclusions are limited, however, by the …