Using the Box-Jenkins approach to forecast inflation in the small open economy, we find that ARIMA can partly show …

evidence of nonlinearity and/or higher moment influences which seriously questions the habit of forecast and model evaluation … significance of the differences with our more general measures of forecast performance …

forecasters is consistent with evidence on mean forecast errors. We find considerable evidence of inflation-gap persistence and …

paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between …

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … forecasting accuracy. Additionally, we explore the forecasting accuracy based on the squared distance of the forecast error …