and assess relative model performance based on the receiver operating characteristic (ROC) curve. While the Treasury term … significantly improve the precision of recession predictions, especially at horizons further out than one year. …

-term relationship. We finally conclude by comparing the forecasting ability of these two approaches with classical models such as Random …

return series using a seasonal Mackey-Glass-GARCH(1,1) model. The interest of the forecasting exercise is found in the …

horizons, the STVAR model increases its forecasting ability over the linear models, whereas the NN model does not outperform …

different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic …). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should … common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static and …

to be forecast. The EIC provides a data-driven model selection tool that can be tuned to the particular forecasting task …'s Bayesian Information Criterion (BIC). The comparisons show that for the M3 forecasting competition data, the EIC outperforms …

horizons, the STVAR model increases its forecasting ability over the linear models, whereas the NN model does not outperform …