The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we develop data-driven VaR approaches that are based on the principle of optimal combination and that provide robust and precise VaR forecasts...

This paper reinterprets Maganelli's (2009) idea of "Forecasting with Judgment" to obtain a dynamic algorithm for combining survey data and time series models for macroeconomic forecasting. Unlike existing combination approaches which typically assign weights to alternative forecasts, the...

This paper contributes to the growing literature in macroeconomics and finance on expectation formation and information processing by analyzing the relationship between expectation formation at the individual level and the prediction of macroeconomic aggregates. Using information from business...

Forecasts guide decisions in all areas of economics and finance. Economic policy makers base their decisions on business cycle forecasts, investment decisions of firms are based on demand forecasts, and portfolio managers try to outperform the market based on financial market forecasts....