, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil …-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach …

-run forecast horizons. The model is shown to be capable of predicting turning points and usable for policy analysis under different …

this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis … produces systematically better forecasts than a random walk for most of the countries, and at any forecast horizon, including …

We forecast average annual GDP growth for 147 countries for 2010-30. We use a cross-country regression model where the …

. Monte Carlo experiments reveal that both the estimation method and the testing procedure perform well in small samples. An …

examined by Ding, Granger and Engle (1993) that suggests that ARFIMA models estimated using a variety of standard estimation … analysis of point mean square forecast errors (MSFEs), and based on the use of Diebold and Mariano (1995) and Clark and … McCracken (2001) predictive accuracy tests. Results are presented for a variety of forecast horizons and for recursive and …

'target' variable to be predicted, using only 'first release' data in model estimation and prediction construction yields mean … square forecast error (MSFE) 'best' predictions. On the other hand, models estimated and implemented using 'latest available …

forecast, and for key variables such as industrial production growth, inflation, and the federal funds rate. …