We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and … compare these optimal rules against plausible alternatives. Model uncertainty is shown to be a substantial problem; the …

I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve Board staff for forecasting and policy … analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of … commonly applied, simple monetary policy rules. I first document that model uncertainty poses substantial challenges for …

I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve Board staff for forecasting and policy … analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of … commonly applied, simple monetary policy rules. I first document that model uncertainty poses substantial challenges for …

We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA …

We develop a transparent Bayesian approach to quantify uncertainty about linear stochastic discount factor models. We … show that, for a Bayesian decision-maker, the model probability decreases with historical maximum in-sample Sharpe ratios … and increases with model dimensions. We apply our approach to quantify the time series of model uncertainty in North …

We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and … compare these optimal rules against plausible alternatives. Model uncertainty is shown to be a substantial problem; the …

Macroeconomic uncertainty—the conditional volatility of the unforecastable component of a future value of a time series … assumption, this paper shows there is usually little, if any, endogenous variation in output uncertainty, and first moment shocks … uncertainty compared to the data. Estimating several variants of a nonlinear real business cycle model reveals the data strongly …

the Nigeria stock market. The EGARCH model is found to be the most efficient for forecasting volatilities and has the … years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the next four …

improvement in forecasting performance. …