rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates … perspective, a particular approach to quantitative modeling is presented that incorporates return forecasts, a risk model, and a … magnitude of portfolio drawdowns. -- exchange rate forecasting ; forecast evaluation ; conditioners ; quantitative models …

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 … as predictors. Third, we pool the forecasts in clusters to hedge against model risk and to evaluate the usefulness of …, and reducing tail risk. Using the same approach for return forecasts, however, does not lead to a consistent …

We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the … that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility … the conceptually correct benchmark forecast uncertainty. …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a … some previously used measures significantly underestimate the conceptually correct benchmark forecast uncertainty. …

is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …