Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory var[...]

Les taux de défaut sont des séries couramment utilisées dans les simulations de crise. Au Canada comme dans beaucoup d’autres pays, on ne dispose pas de séries rétrospect[...]

A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal w[...]

The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: C[...]

Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic o[...]

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbanc[...]

Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and[...]

Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of [...]

The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil. Traditionally, such out-of-sample forecasts have been large[...]

Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator insp[...]