Boucher, Christophe; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
The forecasting literature has identified three important and broad issues: the predictive content is unstable over … predictors. In this paper, we simultaneously address these three issues, proposing to directly treat the persistence of … forecasting variables before use. We thus cut-out the low frequency components and show, in simulations and on financial data …
