, forecasting performance increases substantially when the construction of optimal weights takes uncertainty around states into …

in replicating inflation expectation data but also in forecasting actual inflation rates. …

structural model for the Netherlands sup- plemented with leading indicator variables. In a pseudo out-of-sample forecasting … forecasting performance of the factor models. However, only the dynamic factor model systematically outper- forms and encompasses … the autoregressive benchmark model with an op- timal subset of the data of around 110 series. The forecasting gains in …

direction, this paper focuses on the identification of expensive trades before actual trading takes place. However, forecasting …

This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting …. In practice, where information on structural breaks is uncertain a forecasting procedure based on robust weights is … performance of our approach relative to other forecasting methods. …

-term forecasting performance. …