The relative performances of forecasting models change over time. This empirical
observation raises two questions. First, is the relative performance itself predictable …

A measure of global economic activity (EA) is often used as input in macroeconometric
models. Baumeister and Hamilton (2019) and Hamilton (2019) favor using the world …

High-quality risk management is the key to ensuring the safe, efficient, and stable operation
of the financial system. The current Basel Accord requires financial institutions to regularly …

This paper provides the first thorough investigation of the negative weights that can emerge
when combining forecasts. The usual practice in the literature is to consider only convex …

The purpose of this paper is to show that the effect of the zero-correlation assumption in
combining forecasts can be huge, and that ignoring (positive) correlation can lead to …

The heterogeneous autoregressive (HAR) model has become the benchmark model for
predicting realized volatility, given its simplicity and consistent empirical performance. Many …

The out-of-sample R 2 is designed to measure forecasting performance without look-ahead
bias. However, researchers can hack this performance metric even without multiple tests by …

It is often reported in the forecast combination literature that a simple average of candidate
forecasts is more robust than sophisticated combining methods. This phenomenon is usually …

Contrary to the myriad of studies that apply tests of unconditional predictive ability to quantify
the out-of-sample predictive impact of economic variables on aggregate equity returns and …

This paper proposes a new test for comparing the out-of-sample forecasting performance of
two competing models for situations in which the predictive content may be state-dependent …