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. …

private sector analysts. We focus on the financial crisis of 2008-2009 and the dot-com recession of 2001-2002. The dynamic … other linear models and hardly at all when backcasting and nowcasting. Moreover, the dynamic factor model beats the private …-term forecasting performance. …

This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of …

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

forecast for the euro area in December 2000, forecasting inflation for the area has become of increasing importance. In this … study it is systematically analysed whether the forecasting performance of euro area inflation models can be improved by … aggregating forecasts of HICP subindices in comparison to forecasting total euro area inflation directly. The comparison is …

factors is a more promising forecasting strategy than averaging a large number of indicator-based forecasts. The dynamic and …We conduct a systematic comparison of the short-term forecasting abilities of eleven statistical models and …

-term forecasting models. These empirical findings have been established for different data sets and for different forecast horizons …-of-sample forecasting competition for the euro area and its five largest countries over the period 1992-2012. Besides, we introduce two … extensions to the existing factor models to make them more suited for real-time forecasting. We show that the factor models were …