There are many types of econometric models used in predicting the inflation rate, but in this study we used a Bayesian shrinkage combination approach. This methodology is used in order to improve the predictions accuracy by including information that is not captured by the econometric models....

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...