volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. …

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework … factors, on the forecasting performance. Using US yield curve data, we find that both no-arbitrage and large info help in … forecasting but no model uniformly dominates the other. No-arbitrage models are more useful at shorter horizon for shorter …

This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …

forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …

The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …