using nonparametric models generally leads to improved forecast accuracy. In particular, when interest centers on the tails …

forecasts upon three competing models: quantile regressions commonly used for studying tail events, the Bayesian VAR with …

The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard … transitory and persistent changes in volatility. The resulting density forecasts are much less sensitive to outliers in the data …

produces systematically better forecasts than a random walk for most of the countries, and at any forecast horizon, including … this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis …-a-vis the US Dollar. Since exchange rates tend to co-move, the use of a large set of them can contain useful information for …

A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible … regions that adjust for any covariance between the elements of the path forecast. This paper shows how to construct such … rate hikes in the U.S. macroeconomy. -- path forecast ; simultaneous confidence region ; error bands …

rather than selecting a specific model. -- Nowcasting ; forecast combination ; forecast pooling ; model selection …

It is investigated whether Euro-area variables can be forecast better based on synthetic time series for the pre …-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based on quarterly data for the …

information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an … existing evidence focuses on statistical measures of forecast accuracy, we also evaluate the performance of the alternative … forecasts when used within trading schemes or as a basis for portfolio allocation. We extensively check the robustness of our …

Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected … simultaneous confidence region generated from its forecast generating distribution. However, if the null model is only … matrix and the empirical distribution of the Mahalanobis distance of the path-forecast errors. These rectangular regions are …