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

We examine forecast accuracy and efficiency of the Social Security Administration’s projections for cost rate, trust …

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 …

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 …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

forecast combination literature, the effects of model and estimation uncertainty on forecast outcomes are examined by pooling …

imbalance and forecast bias. We found that in cases of severe class imbalance, the forecasts need to be adequately biased to …

modeling, we construct the area-wide indicators by utilizing weights that minimize the variance of the out-of-sample forecast … errors of the area-wide target variable. In an out-of-sample forecast experiment we find that our optimal pooling of … information approach outperforms alternative forecasting methods in terms of forecast accuracy. …

their location, spread, skew and tail risk on density forecast performance. Overall, we find considerable heterogeneity in … forecast horizon. In addition, relative to the proposed benchmarks, we report evidence of some improvement in the performance … of expert densities during the recent period of macroeconomic volatility. However, our analysis also reveals clear …