produce large reductions in the out-of-sample prediction mean squared error and provides a useful alternative to forecasting …

model forecast should become the benchmark for forecasting horse races. We compare the real-time forecasting accuracy of the … forecasting models is efficient. Our second finding is that there is no single best forecasting method. For example, typically … simple AR models are most accurate at short horizons and DSGE models are most accurate at long horizons when forecasting …

While forecasting is a common practice in academia, government and business alike, practitioners are often left … wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we … time series, and the forecasting performance is often quite sensitive to the choice of such window size. In this paper, we …

includes (i) Gaussian shocks with stochastic variance, (ii) jumps up and down in the exchange rate, and (iii) jumps in the … probability of jumps in variance is increasing in the variance but not related to interest rates. Many of the jumps in exchange … rates are associated with macroeconomic and political news, but jumps in variance are not. Overall, jumps account for 25% of …

This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the … choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over … the usefulness of the methodologies for evaluating exchange rate models' forecasting ability. …

methods based on the ex-ante best individual forecasting model. Moreover, simple combinations that ignore correlations between …