This paper compares the forecasting performance of different models which have been proposed for forecasting in the … forecasting in the vast majority of cases. However, we find no single forecasting model consistently works best in the presence of …

group specifications and the models' out-of-sample forecasting performance confirms our model specification. …

different group specifications and the models' out-of-sample forecasting performance confirms our model specification. JEL …

Carlo forecasting we find that the regime switching model appears to be especially attractive in forecasting relative prices. …

premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display non …-linearities. This Paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector equilibrium …

models turn out to produce statistically equally good results in terms of forecasting the business cycle turning points. …

transition autoregression (STAR). The performance of these models in terms of forecasting the business cycle turns is compared …. Both types of models produce statistically equivalent in-sample forecasting results, whilst the CEI with exponential STAR …

monetary policy decisions and have satisfactory out-of-sample forecasting properties. …

group specifications and the models' out-of-sample forecasting performance confirms our model specification. …