This paper focuses on a number of newly proposed on-line forecast combination algorithms in Sancetta (2010), Yang (2004), and Wei and Yang (2012). We first establish certain asymptotic properties of these algorithms and compare them with the Bates and Granger (1969) method. We then show that...

This paper evaluates the performance of a few newly proposed on-line forecast combination algorithms, and compares them with some of the existing ones including the simple average and that of Bates and Granger (1969). We derive asymptotic results for the new algorithms that justify certain...