deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We …

judgment, quantiles selection, severity metric, the specification of a conditioned path. We present a pioneering forecasting … actual development during the financial crisis. The method is challenged with the DSGE model and conditional forecasting. …

forecasting, however it is robust in the sense that it provides a more accurate estimation of the predictive density in the region …

innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state … studies adopting UC models for forecasting purposes. Four correlation structures for errors are entertained: orthogonal … and their connection with forecasting are discussed within a Bayesian framework. As perfectly correlated innovations …

deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We …

We perform a large-scale empirical study to compare the forecasting performance of single-regime and Markov …-switching GARCH (MSGARCH) models from a risk management perspective. We find that, for daily, weekly, and ten-day equity log …

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … useful for forecasting. …