• Combining Forecast Densities from VARs with Uncertain Instabilities 

      Jore, Anne Sofie; Mitchell, James; Vahey, Shaun P. (Working Papers;1/2008, Working paper, 2008)
      Clark and McCracken (2008) argue that combining real-time point forecasts from VARs of output, prices and interest rates improves point forecast accuracy in the presence of uncertain model instabilities. In this paper, we ...
    • Combining Inflation Density Forecasts 

      Kascha, Christian; Ravazzolo, Francesco (Working Papers;22/2008, Working paper, 2008)
      In this paper, we empirically evaluate competing approaches for combining inflation density forecasts in terms of Kullback-Leibler divergence. In particular, we apply a similar suite of models to four different data sets ...
    • Density Forecasts with Midas Models 

      Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco (Working Papers;10/2014, Working paper, 2014)
      In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions ...