-state Markov-chain. The selection of an appropriate set of indicators utilizes a combinatorial algorithm. The model's forecasting …

multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, with detailed … application in the topical and challenging context of multi-step macroeconomic forecasting in a monetary policy setting. BPS … motivated by the application context – sequential forecasting of multiple US macroeconomic time series with forecasts generated …

Interest rate data are an important element of macroeconomic forecasting. Projections of future interest rates are not … only an important product themselves, but also typically matter for forecasting other macroeconomic and financial variables …. A popular class of forecasting models is linear vector autoregressions (VARs) that include shorter- and longer …

particular model. Artificial Neural Network (ANN) models provide a solution to the difficulty of forecasting unemployment over …

-varying parameter specification in density forecasting …

-varying parameter specification in density forecasting …