Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - Norges Bank - 2009
uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic … gains using ¯nancial and macroeconomic time series. The results indicate that the proposed time varying model weight schemes … S&P 500 index, time varying model weights provide improved forecasts with substantial economic gains in an investment …