By decomposing analysts' forecast errors into common and idiosyncratic components, we develop a simple model aimed at … explaining the relationship between forecast uncertainty and analyst dispersion. Under this framework, we propose a new measure … of earnings forecast uncertainty as the sum of dispersion among analysts and the variance of mean forecast errors …

Sample covariance matrices tend to underestimate the risk of optimized portfolios. In this article, we identify special …

A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

standard deviation of individual forecasts around the median Consensus Forecast as proxy for forecast uncertainty. Our sample … react significantly to inflation forecast uncertainty by reducing their policy rates in times of higher inflation … forecast uncertainty. We conclude with some implications for optimal monetary policy rules and central bank watchers …

Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related … to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk … possible. In general, tests for macroeconomic risk forecast optimality tend to have at best moderate power given the …

present a model in which forecast accuracy and timing are affected by information uncertainty stemming from (i) the presence … of forecast bias and (ii) investors' limited capability to adjust to this bias. We assume that the presence of a bias is … affects the trade-off between timeliness and forecast quality. We find that the optimal forecasting time varies non …

-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach …We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil …, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …