This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a … models. In order to explain this poor performance, we use a forecasting error decomposition. We identify four components and …

such innovations. The overall contribution of the variable is evaluated in an out-of-sample forecasting exercise, where we …

-of-sample performance measures. The criteria considered include system criteria, where we evaluate multiequation forecasting models, and …

nonlinear time-series analysis, several authors have begun to examine the forecasting properties of nonlinear models in the … field of forecasting business cycles. The research presented in this paper focuses on the development of a new approach to … forecasting with leading indicators based on neural networks. Empirical results are presented for forecasting the Index of …

possible time-varying kurtosis. The forecasting performances of the competing models are evaluated both with statistical and … outperform all standard GARCH models in forecasting volatility at horizons shorter than one week under both statistical and VaR …