forecast performance of a model can potentially incur important policy costs. Commonly used statistical procedures, however … forecast breakdowns in small samples. We develop a procedure which aims at capturing the policy cost of missing a break. We use … can result from a break going undetected for too long. In so doing, we also explicitly study forecast errors as a …

forecast performance of a model can potentially incur important policy costs. Commonly used statistical procedures, however … forecast breakdowns in small samples. We develop a procedure which aims at capturing the policy cost of missing a break. We use … can result from a break going undetected for too long. In so doing, we also explicitly study forecast errors as a …

recent break tends to produce more accurate forecasts than unconditional estimation methods based on expanding or rolling …

Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models …

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 …

conditions index adds further forecast power, while third factors have a mixed effect on performance. The FCIs are used to …