This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …

This paper assesses the performance of a number of long-term interest rate forecast approaches, namely time series … is compared using out of sample forecast errors, where a random walk forecast acts as benchmark. It is found that for … approaches do not outperform the random walk, or a somewhat more sophisticated time series model, on a 3 month forecast horizon …

(GDP) growth and consumer price index inflation. This paper fills this research gap by providing a replicable forecasting …-run forecast horizons. The model is shown to be capable of predicting turning points and usable for policy analysis under different …

. The asset pricing model proves to have better forecast accuracy in case of some exchange rates and forecast horizons than …

This paper investigates the forecasting ability of survey data on exchange rate expectations with multiple forecast … currencies. The best performing term-structure model is the one that assumes an exponential relationship between the forecast and … the forecast horizon, and has time-varying parameters. …

-for breaks in forecast accuracy and off-model judgment. Conclusions reached are that simple mechanical residual adjustments have …

practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …