Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is … at 1-step ahead. -- Exchange rates ; Forecasting ; Bayesian VAR …

Value-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are … generalized error distribution. Adaptive Markov chain Monte Carlo methods are employed in estimation and forecasting. A portfolio … of four Asia-Pacific stock markets is considered. Two forecasting periods are evaluated in light of the recent global …

policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated, based on a …

oil futures prices, exchange rates of particular countries and stock-market indexes. Out-of-sample forecasting results …, they generally lose their forecasting power at higher forecast horizons. The results also suggest that exchange rates help …, and fınds that forecast averaging significantly improves the forecasting performances …