This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive … by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MF … expert forecasts and show that the MF-TVP-SV-VAR delivers better inflation nowcasts in this regard. Using an optimal …

This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional …

forecasts based on pooled and individual estimates and develop a novel forecast poolability test that can be used as a … pretesting tool. Through a set of Monte Carlo simulations and three empirical applications to house prices, CPI inflation, and … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

, and (iii) employment protection – shape fiscal multipliers and output volatility. Our theoretical model highlights that … more stringent labor market institutions attenuate both fiscal spending multipliers and macroeconomic volatility. This is …

This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …