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 …

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

span. To assess the robustness of our findings, we examine the forecasting performance of a non-linear, nonparametric model …

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. …

structure at different maturities of sovereign credit default swaps and conduct an out-of-sample forecasting exercise to test … improves the forecasting accuracy upon the random walk model at short forecasting horizons. …

structure at different maturities of sovereign credit default swaps and conduct an out-of-sample forecasting exercise to test … improves the forecasting accuracy upon the random walk model at short forecasting horizons. …

walk model suggests that the forecasting performance of the monetary model is superior. …