Forecasting and evaluation

Requirements: Solid knowledge of quant methods, time series and programming in R.

For a set of 10 pre specified models compute a:
- Recursive out of sample testing for different forecast horizons
- Comparison of RMSE, CRPS, Energy Scores and other metrics

-All models are based on full distributions (n simulations of each model to create full distribution)

Forecasting models involve-> VAR, VARX, BVAR, VARMA, TVP-VAR, Dynamic Factor Models, etc