We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … and useful for forecasting. …

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

In recent years there has been increasing interest in forecasting methods that utilise large datasets, driven partly by … weights. We consider the use of model averaging in forecasting UK inflation with a large dataset from this perspective. We …

Recently, there has been increasing interest in forecasting methods that utilise large datasets. We explore the … possibility of forecasting with model averaging using the out-of-sample forecasting performance of various models in a frequentist … setting, using the predictive likelihood. We apply our method to forecasting UK inflation and find that the new method …

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …

In this paper we propose a strategy for forecasting the term structure of interest rates which may produce significant …

, simulated annealing and genetic algorithms are considered. Both a Monte Carlo study and an empirical forecasting application to …

, their local-factor SVF model is not powerful enough in forecasting Asian volatility. This has led us to propose an extension …

uncertainty in the data. We apply the method to UK aggregate expenditure data, and illustrate the gains in forecasting from …

In this paper we explore the consequences for forecasting of the following two facts: first, that over time statistical …. We discuss a variety of forecasting problems in this environment, and present an application using a univariate model of …