In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields …

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

This paper proposes a tripartite framework of design, evaluation, and post-evaluation analysis for generating and … 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 …

This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of …

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

most appropriate parametric model for characterizing this temporal dependence. In this paper, we propose a simple way of … 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 …

Using data on the foreign exchange positions of five leading financial institutions, this paper attempts to determine … information that would be valuable in forecasting changes in exchange rates. The conclusions are limited, however, by the …

In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The …