Lins, Gabriel de Oliveira Accioly; Cerqueira, Daniel; … - 2020
systematically surpassing univariate models, especially in extended periods of forecasting. In general, improvements related to the … window' scheme and 'Model Confidence Set' approach, we investigate whether multivariate models with leading variables show … forecast performance superior to a set of univariate models. In applying the MCS approach, considering different evaluation …