rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when … the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast … optimally does not improve forecast accuracy; (e) all variants except the large BVAR tend to be well calibrated for inflation …

rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …

random walk benchmark in an out-of-sample environment. Second, lags of investment growth, crude oil price growth and realized …

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information … has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the … market expectation of the price of the underlying asset. Although this expectation in principle may be recovered by adjusting …