We develop an econometric modelling framework to forecast commodity prices taking into account potentially different dynamics and linkages existing at different states of the world and using different performance measures to validate the predictions. We assess the extent to which the quality of...

We develop an econometric modelling framework to forecast commodity prices taking into account potentially different dynamics and linkages existing at different states of the world and using different performance measures to validate the predictions. We assess the extent to which the quality of...

In this paper, the dynamic common factors method of Forni et al. (2000) is applied to a large panel of economic time series on the Estonian economy. In order to improve forecasting of economic activity in Estonia, we derive a leading indicator composed of the common components of twelve series,...

A simple criterion based on the properties of the forecast error is presented to evaluate the accuracy of forecasts. The efficiency conditions of an optimization problem are used to show that under rational expectations the standard statistical conditions are necessary, but not sufficient to...

Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is possible to increase the probability mass toward the tails and to match reasonably...

Seasonality has attracted considerable interest in empirical tourism research and forecasting. However, the analysis of such recurring phenomenon is sparse in hospitality research, with very few studies to date having analysed seasonal unit roots prior to forecasting guest nights for the...