Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

economy gradually, then order flow can have both explanatory and forecasting power for exchange rates. Using one year of high …

Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models … models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation … to individual models' forecasts. Our results point to three important conclusions. First, the forecasting accuracy of the …

Various inflation forecasting models are compared using a simulated out-of-sample forecasting framework. We focus on … the question of whether monetary aggregates are useful for forecasting inflation, but unlike previous work we examine a … some of our models. Our findings indicate that there are forecasting gains from allowing monetary aggregates to enter into …

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

forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …