that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …

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 … at 1-step ahead. -- Exchange rates ; Forecasting ; Bayesian VAR …

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … and useful for forecasting. -- Bayesian methods ; Forecasting ; Term structure …