This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the … choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over … application shows the usefulness of the methodologies for evaluating exchange rate models' forecasting ability. …

This paper proposes Bayesian forecasting in a vector autoregression using a democratic prior. This prior is chosen to …

theory of forecasting suggests such a possibility. In a recent paper, Owen Lamont finds that forecasters in the Business Week … general theory of forecasting that accounts for both sets of results. …

to density forecasting, and density forecast evaluation with known loss function. …