In this teaching note I list some suggestions that might be useful to take into account when forecasting financial …

forecasting average housing prices located in a county nested in a state. When deriving the BLUP, we take into account the spatial …

reduced-form inflation modeling and forecasting, we specify a range of models of inflation that incorporate different trend … specifications. We compare the models on the basis of their accuracies in out-of-sample forecasting, both point and density. Our …

specification in differences. In this paper, we examine the forecasting performance of the FECM by means of an analytical example …, Monte Carlo simulations and several empirical applications. We show that FECM generally offers a higher forecasting … precision relative to the FAVAR, and marks a useful step forward for forecasting with large datasets. …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Significantly driven by JP Morgan's RiskMetrics system with EWMA (exponentially weighted moving average) forecasting … proposed skewed-EWMA method offers a viable improvement in forecasting VaR. …