survey providers produce valuable leading indicators to predict the current quarter of German GDP growth. Regarding forecasts …

-TVP-SV-VAR delivers accurate now- and forecasts and, on average, outperforms its competitors. We assess the models' accuracy relative to … expert forecasts and show that the MF-TVP-SV-VAR delivers better inflation nowcasts in this regard. Using an optimal …This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive …

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 … forecasts, and forecasts combining those two using a mixing strategy based either on a simple average or a weighted average with …

existing approaches. We conduct a systematic comparison of their predictive accuracy in settings with different cross … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive … accuracy depend on the degree of parameter heterogeneity, whether heterogeneity is correlated with the regressors, the goodness …

This paper considers the problem of identification, estimation and inference in the case of spatial panel data models … errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of spatial …