an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high …-volatility periods. The biggest forecast improvements are obtained by modelling time variation in the volatilities of the innovations … exchange rate predictability by macroeconomic fundamentals. Finally, an economic evaluation of the different forecast models …

research. Many forecast surveys ask their participants for fixed-event forecasts. Since fixed-event forecasts have seasonal … very flexible. The forecast to be approximated as well as the information employed by the approximation can be any linear …

Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the … forecast horizon h. Following Diebold and Mariano (DM, 1995) we propose a test based on the comparison of the mean …-squared error of the forecast and the sample variance. We show that the resulting test does not possess a limiting normal …

the PIT of the score. The second is based on comparing the expected performance of the forecast distribution (i.e., the … and power properties in simulations and solve various problems of existing tests. We apply the new tests to forecast …

estimates of survey-consistent term structures of expectations and uncertainty at arbitrary forecast horizons. Our models … comparable in quality to the published, widely used short-horizon forecasts. Our estimates of time-varying forecast uncertainty …