time of forecasting, are useful in assessing future forecast errors. …

countries – Italy, France and Germany – utilising only current and past financial market information. The longer the forecasting … analysed countries, the overall forecasting performance of the tracking portfolios is the best for the United States, and the … method employed here clearly outperforms the forecasting performance of a more traditional VAR approach. …

This paper provides an answer to the question of how to improve the forecasting performance of a macro model to better … account for economic developments and how to evaluate the forecasting uncertainty. The main tool in this assessment is …

We propose simulation-based forecasting methods for the noncausal vector autoregressive model proposed by Lanne and … simulation procedures. Simulation experiments demonstrate that gains in forecasting accuracy are achieved by using the correct … of U.S. inflation and marginal cost turns out superior to the best-fitting conventional causal VAR model in forecasting …

models. It also studies the importance of three main risk premia models in explaining and forecasting the risk premia in …