Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

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

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …

forecasting one-month ahead, especially with Bayesian VARs. Furthermore, for both real and nominal variables, the direct pooling …

to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …

This paper evaluates the performance of 11 vector autoregressive models in forecasting 15 macroeconomic variables for …

is known to be hard to forecast, but by exploiting timely information one obtains gains at nowcasting and forecasting one …

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …

financial variables. The aim of this work is to compare the forecasting performance of different models for the returns of some … counterparts. Although we find evidence of some forecasting gains from nonlinear models, the results are sensitive to the forecast … horizon and to the metric adopted to measure the forecasting accuracy. The use of data at different frequencies allows us to …