Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of … horizon. In this paper, the efficiency gains from the joint estimation of forecast uncertainty for all horizons in such … large. If forecast uncertainty is estimated by seemingly unrelated regressions, the covariance matrix of the squared …

forecast commonly imply that the outturn is expected to lie above [below] the central forecast. Investigating the inflation … informativeness, that is, for a systematic connection between risk assessments and forecast errors. Thus, it seems questionable … whether macroeconomic risk forecasts are meaningful. -- Forecast evaluation ; risk forecasts ; inflation forecasts …