Seasonal streamflow forecasts contingent on climate information are essential for shortterm planning and for setting up contingency measures during extreme years. Recent research shows that operational climate forecasts obtained by combining different General Circulation Models (GCM) have improved predictability/skill in comparison to the predictability from single GCMs [Rajagopalan et al., 200...

Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though conditional forecasting is common, there has been little work on or with methods for evaluating conditional forecasts. This paper provides analytical, Monte Carlo, and empirical evidence on tests of predictive ability for ...

A probability sequence is an ordered set of probability forecasts for the same event. Although single-period probabilistic forecasts and methods for evaluating them have been extensively analyzed, we are not aware of any prior work on evaluating probability sequences. This paper proposes an efficiency condition for probability sequences and shows properties of efficient forecasting systems, inc...

The performance of techniques for evaluating univariate volatility forecasts are well understood. In the multivariate setting however, the efficacy of the evaluation techniques is not developed. Multivariate forecasts are often evaluated within an economic application such as portfolio optimisation context. This paper aims to evaluate the efficacy of such techniques, along with traditional stat...