This paper addresses this gap by introducing a Python package, macroframe-forecast, that allows users to generate forecasts that are both smooth over time and consistent with user-specified ...

We carry out an ex post assessment of popular models used to forecast oil prices and propose a host of alternative VAR models based on traditional global macroeconomic and oil market aggregates. While ...

George Athanasopoulos, Farshid Vahid, VARMA versus VAR for Macroeconomic Forecasting, Journal of Business & Economic Statistics, Vol. 26, No. 2 (Apr., 2008), pp. 237-252 ...

Previous forecasting methods for qualitative variables, in contrast, produce only static forecasts. I apply the Qual VAR to forecasting the 2001 business recession out of sample and to analyzing the ...

Join David Frank, Tail Risk Model specialist on the Portfolio Risk & Analytics team, as he examines how Bloomberg's new MAC3 Tail Risk model led to better VaR forecasting during the pandemic.