We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

We propose a new method for forecasting age-specific mortality and fertility rates observed over time. Our approach allows for smooth functions of age, is robust for outlying years due to wars and epidemics, and provides a modelling framework that is easily adapted to allow for constraints and...

In this paper I consider the problem of optimal linear filtering, smoothing and trend extraction for m-period differences of processes with a unit root. Such processes arise naturally in economics and finance, in the form of rates of change (price inflation, economic growth, financial returns)...

We explore the use of nowcasts from the Philadelphia Survey of Professional Forecasters as a starting point for macroeconomic forecasting. Specifically, survey nowcasts are treated as anadditional observation of the time series of interest. This simple approach delivers enhanced model...

This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>

This discussion paper resulted in a publication in the 'Journal of Economic Dynamics and Control' (forthcoming).<P> This paper develops a testing framework for comparing the predictive accuracy of copula-based multivariate density forecasts, focusing on a specific part of the joint distribution....</p>