We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to … multicointegrated systems. For the forecast evaluation we consider several loss functions, each of which has a particular interpretation … square forecast error (MSFE) criterion focuses on the forecast errors of the flow variables alone. Likewise, a loss function …

frequency information into one model. We consider subsample averaging, bootstrap averaging, forecast averaging methods for the … forecasting the daily S&P 500 index return quantile (Value-at-Risk or VaR is simply the negative of it), using high …-frequency information is beneficial, often substantially and particularly so, in forecasting downside risk. Our empirical results show that …

This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for … Bayesian VAR approach, we observe that effects on forecast errors of professionals turn out to be more significant compared to … the adjustment of exchange rate expectations. Our findings are robust to different forecasting horizons and point to an …

In this paper, I examine the forecasting performance of a Bayesian Vector Autoregression (BVAR) model with steady … outperform those of the QPM for the whole forecast horizon. For inflation they also outperform the official NBU forecasts over …