Weak empirical evidence near and at the boundary of the parameter region is a predominant feature in econometric models. Examples are macroeconometric models with weak information on the number of stable relations, microeconometric models measuring connectivity between variables with weak...

Weak empirical evidence near and at the boundary of the parameter region is a predominant feature in econometric models. Examples are macroeconometric models with weak information on the number of stable relations, microeconometric models measuring connectivity between variables with weak...

Weak empirical evidence near and at the boundary of the parameter region is a predominant feature in econometric models. Examples are macroeconometric models with weak information on the number of stable relations, microeconometric models measuring connectivity between variables with weak...

We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model (CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio.We consider a model that allows for the hedges to be cointegrated with the...

We propose a multivariate combination approach to prediction based on a distributional state space representation of the weights belonging to a set of Bayesian predictive densities which have been obtained from alternative models. Several specifications of multivariate time-varying weights are...

We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point predictions generated by...

Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying...

We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point predictions generated by...