This paper presents a forecasting exercise that assesses the predictive potential of a daily price index based on …

their forecasting performance. Our findings reveal significant heterogeneity in ETM volatility patterns, which challenge …

This paper presents unprecedented exchange rate forecasting results, based upon a new model that approximates the gap …. The theoretical derivation of our forecasting equation is consistent with the monetary model of exchange rates. Our model … outperforms the random walk in out-of-sample forecasting of twelve major currency pairs over the short and long horizon forecasts …

forecasting with the real exchange rate, we find that using a version of real exchange rates based on approximated monthly price … level data instead of actual price level data hardly changes the conclusions on unit roots and forecasting. By combining …

product, which in turn are used as an input in the forecasting process. Such forecasts reflect and incorporate the flow of … in a synchronous way. The forecasting power of the dynamic factor model is compared with those of several other models …

results of the model's forecasting performance suggest that this model can be a useful analytical tool in the process of … to MAKPAM and enriches the set of tools for forecasting and monetary policy analysis in NBRM. In this paper we highlight …

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