-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk … in terms of the forecasting error, confirming a stylized fact about the short-term forecasting of exchange rates. Yet, we … change of the exchange rate. -- Options ; implied volatility ; risk-neutral density ; exchange rate forecasting ; Bayesian …

We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to …, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and …

provide a theoretical justification of the use of random subspace methods and show their usefulness when forecasting monthly …

, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is … allows both the forecasting model and the coefficients to change over time. Based on this framework, we systematically … measure of the forecasting performance. We carefully assess which predictors are relevant for forecasting at different points …

agreed. In short, forecasting inflation is of foremost importance to households, businesses, and policymakers. In 2016, the …

reversion and assume that relative prices are unchanged. Direct forecasting or panel data techniques are better than the random …