and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically …

--they are not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing … standard examples of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast …

forecasting movements in short-term interest rates. For brief forecast intervals, however, ex ante changes in long-term rates are …

environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …

premium. We use this simple observation to forecast the equity-premium time series with the cross-sectional price of risk. We …

and autocorrelation of error. The marginal forecast errors tend to increase, and the correlations between predictions and …

areas of India, and that farmers respond more strongly to the forecast where there is more forecast skill and not at all … when there is no skill. We show, using an IV strategy in which the Indian government forecast of monsoon rainfall serves as … compared with farmers without access to forecasts. Even modest improvements in forecast skill would substantially increase …