Operational weather forecasts now allow two week probabilistic forecasts of wave height. This paper discusses methods for generating such forecasts from numerical model output from the European Centre for Medium Range Weather Forecasting Ensemble Prediction System. The ECMWF system produces Monte Carlo style forecasts of wave statistics out to a lead time of 10 days. This ensemble of forecasts ...

One-year-ahead forecasts by the OECD and by national institutes of GDP growth and inflation in 13 European countries are analysed. RMSE was large: 1.9 % for growth and 1.6 % for inflation. Six (11) OECD and 10 (7) institute growth forecast records were significantly better than an average growth forecast (the current year forecast). All full record-length inflation forecasts were significantly ...

Recently, a prototype dengue early warning system was developed to produce probabilistic forecasts of dengue risk three months ahead of the 2014 World Cup in Brazil. Here, we evaluate the categorical dengue forecasts across all microregions in Brazil, using dengue cases reported in June 2014 to validate the model. We also compare the forecast model framework to a null model, based on seasonal a...

This study examines whether firms issue capital expenditure forecasts as a commitment to not engage in expropriation of lenders through opportunistic investment activities. We find that firms with higher leverage and lower credit quality are more likely to issue capital expenditure forecasts and deviate less from the forecasts. Furthermore, for firms that issue capital expenditure forecasts, lo...

We propose new scoring rules based on partial likelihood for assessing the predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. These scoring rules are proper and can be interpreted in terms of Kullback-Leibler divergence between weighted versions of the density forecast and the true density. Existing scoring ...

This paper evaluates the type of exchange rate equations that are part of the multicountry economtric model in Fair (1994). Two equations are analyzed— one estimated for the dollar/yen rate and one for the dollar/mark rate. The forecasts from the equations dominate forecasts from the random walk model, from a fairly general version of the monetary model, and from the use of the forward rate. Th...

This note gives an easily verified necessary and sufficient condition for one probability forecaster to empirically outperform another one in terms of all strictly proper scoring rules.

The performance of anARCHmodel selection algorithm based on the standardized prediction error criterion (SPEC) is evaluated. The evaluation of the algorithm is performed by comparing different volatility forecasts in option pricing through the simulation of an options market. Traders employing the SPEC model selection algorithm use the model with the lowest sum of squared standardized one-step-...