sensible forecasting properties. After developing a benchmark model without financial-real linkages, we introduce such linkages …

exhibits significant out-of sample forecasting power for tail real and financial risk realizations, and that stress testing …

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test …-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures …. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting …

forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and … best in a large comparative forecasting exercise at various forecasting horizons. In addition, the selected indicators are …

-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear …