that forecasting behavior systematically deviates from normative predictions: Forecasters overreact to forecast errors in …

continuously or with some jumps. This view is widely held in the forecasting literature and under this view, the time series … contemporary forecasting methods is compared to ours using a number of macroeconomic data. …

distribution theory involves cube-root asymptotics and it is used to shed light on forecasting practice. We show that the … conventional forecasting methods do not necessarily produce the best forecasts in our setting. We also propose a new forecasting … strategy, which incorporates our new distribution theory, and apply our forecasting method to numerous macroeconomic data. The …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

the other periods. Croston's method is a widely used procedure for intermittent demand forecasting. However, it is an ad …

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …