as benchmark. Finally, we replicate the forecasting experiment including as predictors both an indicator of unemployment …

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

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 …

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 …

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. …

trend components each capture what they are intended to. We also find trend modelling useful in forecasting. …