probability density function for future values of the variables of interest. At the same time combinations of forecast densities …-data sets. Given this increased relevance of forecast density combinations, the genesis and evolution of this approach, both … history and evolution of forecast density combination methods, together with their potential and benefits, are illustrated in …

of the predictive densities. For illustrative purposes we apply it to combine White Noise and GARCH models to forecast …

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …