The paper derives a test for equal predictability of multi-step-ahead system forecasts that is invariant to linear transformations. The test is a multivariate version of the Diebold-Mariano test. An invariant metric for multi-step-ahead system forecasts is necessary as the conclusions otherwise...

Central banks, private banks, statistical agencies and international organizations such as the IMF and OECD typically use information about the exchange rate some weeks before the publication date as the basis for their exchange rate forecasts. In this paper, we test if forecasts can be made...

In a co-fractional vector autoregressive (VAR) model two more parameters are estimated, compared to the traditional cointegrated VAR model. The increased number of parameters that needs to be estimated leads to identification problems; there is no unique formulation of a co-fractional system,...