walk model suggests that the forecasting performance of the monetary model is superior. …

literature was found to have promising forecasting abilities, it is possible to further improve the performance if the … coefficient adjustment. With this calibration of the Kalman filter model the short-term out-ofsample forecasting accuracy can be …

which method made the run in forecasting the June 2006 currency crisis is: the Markovswitching approach, since it called …

theoretical model of the New Open Economy Macroeconomics type. The forecasting performance of our estimated vector error … Economy Macroeconomics ; real exchange rate ; nominal exchange rate ; forecasting …

. The out-of-sample forecasting performance of the TVP-VAR model is evaluated against the simple VAR and ARIMA models, by … consistently outperforms the simple VAR and ARIMA models. -- stock prices ; exchange rates ; bivariate causality ; forecasting …

work on rolling window averaging by Pesaran et al (2010, 2009) and on exchange rate forecasting by Molodtsova and Papell … minimizes the pitfalls associated with potential structural breaks. Exchange rate forecasting, inflation forecasting, output … growth forecasting, rolling window, model averaging, short horizon, robustness. …

competing models. We show that the forecasting gains translate into economically and statistically significant (risk …

. While the forecasting error of the combined forecast tends to be systematically smaller than that of the individual model … Bayesian model averaging. -- forecasting ; model averaging ; Bayesian econometrics ; exchange rates …