variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

during unstable periods, such as the Great Recession, but also remain over more tranquil periods. …

selecting the best forecasting model class in finite samples of practical relevance. Flanking such a horse race by predictive …

the beginning of 2018. They also have performed well in forecasting the direction of inflation. In terms of the …

improves the forecasting of the aggregated series compared to using the aggregated series alone. We used econometric techniques …-horizon Superior Predictive Ability (uSPA) tests, used to select the best forecasting model by combining different horizons. Our sample … forecasting horizons that are more than one month ahead using the mean square error, and the aggregated ETS has better forecasting …

observations from 1963 to 2004. We rely on forecasts from the joint forecast of the so-called "six leading" forecasting …

-of-sample forecasting exercise, focusing on the last recession, we show that univariate Markov-switching models applied to surveys and a …