increases. Second, the disaggregated ARIMA model has the smallest forecasting errors. Third, majority of the forecast evaluation … Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models … models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation …

This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting … various prior specification choices on the relative and overall forecasting performance of the methods. The data set is a …

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector … theoretical performance guarantees on the forecast capability of our procedure. To be precise, we show that we can forecast future … margin at the longer forecast horizons. Finally, we investigate the economic value of our forecasts in a portfolio selection …