This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting …

provide a theoretical justification of the use of random subspace methods and show their usefulness when forecasting monthly …

. 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 … period of 1994-2008. Except for short-term forecasts of inflation and interest rates, it is as good as or clearly outperforms …

subjective choices in the setting of the prior. Moreover, it performs very well both in terms of out-of-sample forecasting …

distribution. As an empirical illustration, we use euro area data and compare the forecasting performance of the New Area …

The period of extraordinary volatility in euro area headline inflation starting in 2007 raised the question whether … provide more robust forecasts. We investigate this issue for forecasts from a range of short-term forecasting models. Our … for HICP headline inflation and HICP excluding food and energy. We investigate how forecast accuracy of the combination …

story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of … models are inferior in ex-ante forecasting a crisis. Surprisingly however, it turned out that not all but those models which … only detect the turning point of the Austrian business cycle early in 2008 but they also succeeded in forecasting the …

We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to …, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and …

to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing …