We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …

We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency … for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a …

, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is … allows both the forecasting model and the coefficients to change over time. Based on this framework, we systematically … measure of the forecasting performance. We carefully assess which predictors are relevant for forecasting at different points …

usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …

that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …

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 …

forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed …-frequency models, introducing a Bayesian approach to reverse unrestricted MIDAS models (RU-MIDAS). We study the forecasting accuracy …