This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

Recent theoretical works have found a link between return sign forecastability and conditional volatility. This paper compares the predictive performance of the conditional country risk and the conditional residual risk in forecasting the direction of change in the return on the UK stock market...

Several frequentist and Bayesian model averaging schemes, including a new one that simultaneously allows for parameter uncertainty, model uncertainty and time varying model weights, are compared in terms of forecast accuracy over a set of simulation experiments. Artificial data are generated,...

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

In this paper, we exploit the heterogeneity in the forecasts obtained by estimating different factor models to measure forecast uncertainty. Our approach is simple and intuitive. It consists first in selecting all the models that outperform some benchmark model, and then in constructing an...

In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a large data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden-Württemberg) and Eastern Germany. We overcome the problem of a...

In this paper, we ask whether it is possible to forecast gross-value added (GVA) and its sectoral sub-components at the regional level. We are probably the first who evaluate sectoral forecasts at the regional level using a huge data set at quarterly frequency to investigate this issue. With an...

In this paper we propose to exploit the heterogeneity of forecasts produced by different model specifications to measure forecast uncertainty. Our approach is simple and intuitive. It consists in selecting all the models that outperform some benchmark model, and then to construct an empirical...