In There is evidence that exponential smoothing methods as well as time varying parameter models perform relatively well in forecasting comparisons. The aim of this paper is to introduce a new forecasting technique by integrating the exponential smoothing model with regressors whose coefficients...

By modifying and generalizing the wavelet-based approach of approximately simulating univariate long-memory processes that is available in the literature, we propose a methodology for simulating a bivariate stationary process, whose components exhibit different relationships at different scales....

An interesting approach to economic and financial time series forecasting consists of decomposing an input time series additively into several components, each component capturing the dynamics of a different frequency range. Consequently, each component is modelled and forecasted separately, the...

This paper develops a set of time series models to provide short-term forecasts (6 to 18 months ahead) of international trade both at the global level and for selected regions. Our results compare favourably to other forecasts, notably by the International Monetary Fund, as measured by standard...

This article provides a discussion of Clements and Galvão’s “Forecasting with Vector Autoregressive Models of Data Vintages: US output growth and inflation.” Clements and Galvão argue that a multiple-vintage VAR model can be useful for forecasting data that are subject to revisions....

Nowadays, volatility of crude oil price is one of the important developments which are followed by experts with care. Recently increasing of crude oil price is very important for Turkey which 40% of energy consumption consists of oil and 90% of this amount is imported. The aim of the study is...

In evaluating prediction models, many researchers flank comparative ex-ante prediction experiments by significance tests on accuracy improvement, such as the Diebold-Mariano test. We argue that basing the choice of prediction models on such significance tests is problematic, as this practice may...

We study the benefits of forecast combinations based on forecast-encompassing tests relative to uniformly weighted forecast averages across rival models. For a realistic simulation design, we generate multivariate time-series samples of size 40 to 200 from a macroeconomic DSGE-VAR model....

In this paper we present backcasts and nowcasts for quarter on quarter Gross Domestic Product (GDP) growth for Turkish economy. GDP growth is one of the most important economic indicators since GDP figures provide comprehensive information regarding the economic activity. GDP data are published...