I enjoyed reading yet another paper by Patton and Timmermann (PT hereinafter) and feel that it has broken new ground in testing the rationality of a sequence of multi-horizon fixed target forecasts. Rationality tests are not new in the forecasting literature, but the idea of testing the monotonicity properties of second moment bounds across several horizons is novel and can suggest possible sou...

This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical methods for implementing Bayesian model averaging with factor models are described. These methods involve algorithms that simulate from the space defined by all possible models. We explain how these simulation algorithms can also be used to select the model with the highest ma...

This paper presents out-of-sample inflation forecasting results based on relative price variability and skewness. It is demonstrated that forecasts on long horizons of 1.5-2 years are significantly improved if the forecast equation is augmented with skewness. JEL: E17, E31, C43

We introduce two forecasting methods based on a general class of non-linear models called ‘State-Dependent Models’ (SDMs) for tourism demand forecasting. Using Monte Carlo simulation which generated data from linear and models, we evidence how estimations SDMs can capture the level shifts pattern nonlinearity in data. Next, apply new to forecast growth Japan. The forecasts are compared with cla...

In this paper we develop a novel quantile double AR model for modelling financial time series. This is done by specifying a generalized lambda distribution to the quantile function of the location-scale double autoregressive model developed in Ling (2004, 2007). Model parameter estimation uses MCMC Bayesian methods. A novel simulation technique is introduced for forecasting the conditional dist...

In this note we discuss the paper on exchange rate forecasting by Molodtsova and Papell (2012). In particular we discuss issues related to forecast origins and forecast horizons when higher frequency exchange rate movements are predicted using lower frequency quarterly macroaggregates. JEL Nos.: C53, C12, C52

Review and classification of electric load forecasting (LF) techniques based on artificial neuralnetworks (ANN) is presented. A basic ANNs architectures used in LF reviewed. A wide range of ANNoriented applications for forecasting are given in the literature. These are classified into five groups:(1) ANNs in short-term LF, (2) ANNs in mid-term LF, (3) ANNs in long-term LF, (4) Hybrid ANNs inLF,...

This survey reviews a dynamic multi-asset framework in which heterogeneous agents with multi-period planning horizons interact. This framework distinguishes between temporary equilibrium maps describing the basic market mechanism of an asset market, forecasting rules which model the way in which expectations are formed, and a model for exogenous random perturbations. Perfect forecasting rules w...

This project is focused on the design of price forecasting tools for market operators and for market traders, taking into account the distinct purposes, data availability, and time horizons of the distinct users. Empirical price data from the MISO and RTE have been analyzed. A combined model is developed to forecast MISO day-ahead nodal prices. An ARIMA model is constructed to forecast RTE week...