The aim of this paper is to analyze the forecasting performance of alternative model for the US inflation rate over the … the series, although in terms of MSFE the Phillips curve specification can yield noticeable forecasting gains for medium … and long term horizons. Previous finding on the forecasting superiority of the simple naïve model are confuted. …

forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

able to provide more accurate forecasting results than linear models. Therefore, simple autoregressive processes are … observations and autoregression residuals. The proposed forecasting models are applied to a large set of macroeconomic and … autoregression residuals, are somewhat able to provide better forecasting results than simple linear models. Thus, it may be …

walk model suggests that the forecasting performance of the monetary model is superior. …

the other periods. Croston's method is a widely used procedure for intermittent demand forecasting. However, it is an ad …

to forecast. This paper considers the application of diffusion index forecasting models to this problem. We begin by …

-term forecasting of employment in Switzerland aggregated in the KOF Employment Indicator. We use the real time dataset in order to …

-time forecast selection, i.e., for assessing which of two competing forecasting methods will perform better in the future. We … that are neglected in the existing literature by evaluating what we call the forecasting method (the model and the … parameter estimation procedure), rather than just the forecasting model. Compared to previous approaches, our tests are valid …

suboptimal for forecasting purposes. The paper proposes the use of a class of shrinkage estimators that includes the Ridge … estimator for forecasting time series, with a special attention to GARCH and ACD models. The local large sample properties of …-daily financial durations forecasting application. The empirical application shows that an appropriate shrinkage forecasting …