. The out-of-sample forecasting performance of the TVP-VAR model is evaluated against the simple VAR and ARIMA models, by …

practical implications, our forecasting results provide perhaps the most convincing evidence to date that the exchange rate …,b) literature on forecasting exchange rates, we find that the reverse forecasting regression does not survive out-of-sample testing …

We propose a new methodology to identify the sources of models’ forecasting performance. The methodology decomposes the … models’ forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting … understanding the causes of the poor forecasting ability of economic models for exchange rate determination. …

-period-ahead volatility forecasting a convenient recursive procedure. The empirical analysis demonstrates that the model resolves the problem …

. The out-of-sample forecasting performance of the TVP-VAR model is evaluated against the simple VAR and ARIMA models, by …