/2 of the time in 4 of 6 different sample periods. Ancillary findings based on our forecasting experiments underscore the …

This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting … only across regimes. In practice, where information on structural breaks is uncertain, a forecasting procedure based on … experiments and an empirical application to forecasting real GDP using the yield curve across nine industrial economies. …

We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving … rates illustrates the usefulness of our forecasting procedure. The empirical success of the HAR-RV model can be explained …

process prior. Cumulative Bayes factors show our semiparametric model accurately forecasting market returns. During tranquil …

coefficients and the importance of the variables are allowed to change over time. We focus on forecasting and so the parsimony of …. The new method is applied to two forecasting problems in econometrics: equity premium prediction and inflation forecasting …