parameter instability, we examine the forecasting performance of a pricing-to-market model. In doing so we apply a selection of …

forecasting of financial return series that are subject to breaks. The first stage adopts a reversed ordered Cusum (ROC) procedure … estimate the parameters of the forecasting model. We compare this approach to existing alternatives for dealing with parameter … instability such as the Bai-Perron method and the time-varying parameter model. An out-of-sample forecasting experiment …

. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of …

. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of …

This paper uses vector error correction models of Switzerland for forecasting output, inflation and the short … forecasting performance of averaging over forecasts from different models. Second, it considers averaging forecasts from different …