It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square …

statistical averaging effect. Finally the out-of-sample forecasting performance of both approaches is evaluated. The results point …

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The … asset returns. Our model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the …

We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting … for estimating the model parameters. In forecasting inflation, the central bank inflation target, if it exists, is a … natural example of such exogenous information. We illustrate the application of our method by an out-of-sample forecasting …

, monthly indicators. We examine in the context of univariate forecasting equations to what extent monthly indicators provide …

Monitoring and forecasting price developments in the euro area is essential in the light of the second pillar of the … ECBu0092s monetary policy strategy. This study analyses whether the forecasting accuracy of forecasting aggregate euro area …) as opposed to forecasting the aggregate HICP directly. The analysis includes univariate and multivariate linear time …

-month interest rates is explored in an exercise of out-of-sample forecasting. This yield spread appears to contain …