This paper introduces an economically motivated performance measure for variance forecasts based on variance trading. The performance measure is constructed within a microeconomic framework that mimics the decision-making process of a variance trader who uses volatility forecasts to predict future profitability of a trade. The new performance measure can serve as a useful complement to more tra...

Economic and financial forecasts are important for business planning government policy but notoriously challenging. We take advantage of recent advances in individual group judgement, a data set economic compiled over 25 years, consisting multiple institutional estimates, to test the claim that nominal groups will make more accurate forecast than individuals. validate using subsequent published...

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...

We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee’s Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple horizons. To track time-varying uncertainty in the associated forecast errors, we derive a multiple-hor...