We examine the forecasting performance of a range of time-series models of the daily US effective federal funds (FF … satisfactory one-day-ahead forecasts of the FF rate; (ii) the best forecasting model is a simple univariate model where the future …

-of-sample forecasts. Second, we discuss how to extend this forecasting approach to higher horizons. Third, we compare the resulting class … is most useful for forecasting. We show that the asymmetry embodied in commonly used nonlinear transformations of the … price of oil is not helpful for out-of-sample forecasting; more robust and more accurate real GDP forecasts are obtained …

This paper studies the joint dynamics of US output and unemployment rates in a nonlinear VAR model. The nonlinearity is …

We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need … in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil …

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. …