This paper assesses the performance of a number of long-term interest rate forecast approaches, namely time series models, structural economic models, expert forecasts and combinations thereof. The predictive performance of these approaches is compared using out of sample forecast errors, where...

This paper argues that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a manner which is straightforward and which is preferable to other alternatives, including the use of confidence intervals. Probability forecasts relating to UK output...

We show that the difference between the natural rate of interest and the current level of monetary policy stance, which we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting regressions of bond excess returns significantly raises...

Für Investitionen am Kapitalmarkt spielt die Portfoliotheorie (Markowitz, 1952) eine bedeutende Rolle und bildet nach wie vor eine wichtige Entscheidungsgrundlage für die Strukturierung von Anlageportfolios. Für risikoaverse Anleger ist die Diversifikation der Portfoliobestandteile eine...