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It offers substantial gains in real-time, out-of-sample forecasts of changes in aggregate economic activity (real GDP, the index of coincident indicators, and industrial production)
Accordingly, both the quarterly and the annual forecast data in- dicate that the relationship between current and future macro- economic conditions has changed in a way that results
Now that the comparison is between VARMA models and one class of VAR models at a time, VARMA models outperform their VAR counterparts for each and every forecast horizon (with the
The fractionally inte- grated range-based EGARCH model forecasts the average log absolute return or log range as far as 1 year from the end of the estimation period with R 2 ’s of
Our empirical evidence indicates that of the considered models, only the regime-shifting model can account for the size of the pre- dictability (i.e., high R 2 ’s) and the
Applying Hong’s (2003) procedure, we provide a compre- hensive empirical analysis of the density forecast performance of a variety of popular spot rate models, including
We compare three classes of models: the linear autoregres- sion, LAR( p ); the two regime threshold model with the delay variable dened off the level of the lag of the sunspot
For the standard two-regime model of expansions and contractions, deepness is shown to imply sharpness (and vice versa), whereas the process is always nonsteep. Two and
