. While the forecasting error of the combined forecast tends to be systematically smaller than that of the individual model …

posterior and traditional Bayesian Model Averaging techniques in applications of Value-at-Risk prediction in GARCH models. …

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … useful for forecasting. …

logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances … of the predictive densities. For illustrative purposes we apply it to combine White Noise and GARCH models to forecast …