We analyse the role of time-variation in coefficients and other sources of uncertainty in exchange rate forecasting … beat the random walk benchmark in out-of-sample forecasting exercise. Using an innovative variance decomposition scheme, we … main factors hindering models' forecasting performance. The uncertainty regarding the choice of the predictor is small. …

directional component of the market returns because, for investment purposes, forecasting the direction of return correctly is … in forecasting the direction of the market return. Finally, we test trading strategies and find that a number of industry …

In this paper, we study main problems and practical issues of modeling and forecasting of macroeconomic variables in … variables and employ two forecasting methodologies (Waggoner and Zha (1999), Banbura, Giannone and Lenza (2014)) to construct … modeling and forecasting of macroeconomic variables and provide some policy recommendations to improve quality of statistical …

setting. Monte Carlo evidence and an empirical forecasting exercise show clear and important gains of the new priors compared …

In this study, we investigate forecasting performance of various univariate and multivariate models in predicting … forecasting ability of the different models with that of naïve ones. We find that for all forecast horizons simple naïve models … have equal forecasting ability with relatively sophisticated models which allow for richer economic dynamics. To check …

This study aims to introduce an ideal model for forecasting crude oil price volatility. For this purpose, the …

forecasting one-month ahead, especially with Bayesian VARs. Furthermore, for both real and nominal variables, the direct pooling …