M. Aiolfi, C. Capistrán, and A. G. Timmermann, Forecast combinations, pp.2010-2031, 2010.

J. M. Bates and C. W. Granger, The combination of forecasts. Or, pp.451-468, 1969.

C. Bowles, R. Friz, V. Genre, G. Kenny, A. Meyler et al., The ecb survey of professional forecasters (spf)-a review after eight years' experience, ECB Occasional Paper, issue.59, 2007.

C. Bowles, R. Friz, V. Genre, G. Kenny, A. Meyler et al., An Evaluation of the Growth and Unemployment Forecasts in the ECB Survey of Professional Forecasters, OECD Journal: Journal of Business Cycle Measurement and Analysis, vol.2010, issue.2, p.201063, 2010.
DOI : 10.1787/jbcma-2010-5km33sg210kk

N. Cesa-bianchi and G. Lugosi, Prediction, learning, and games, 2006.
DOI : 10.1017/CBO9780511546921

N. Cesa-bianchi, Y. Mansour, and G. Stoltz, Improved second-order bounds for prediction with expert advice, Machine Learning, pp.321-352, 2007.
URL : https://hal.archives-ouvertes.fr/hal-00019799

Y. Chen, K. Rogoff, and B. Rossi, Can exchange rates forecast commodity prices?, National Bureau of Economic Research, 2008.

G. Claeskens, J. R. Magnus, A. L. Vasnev, W. , and W. , The forecast combination puzzle: A simple theoretical explanation, 2014.

T. E. Clark and M. W. Mccracken, Combining Forecasts from Nested Models, Oxford Bulletin of Economics and Statistics, vol.41, issue.3, pp.303-329, 2009.
DOI : 10.1111/j.1468-0084.2009.00547.x

R. T. Clemen, Combining forecasts: A review and annotated bibliography, International Journal of Forecasting, vol.5, issue.4, pp.559-583, 1989.
DOI : 10.1016/0169-2070(89)90012-5

M. Clements and D. Hendry, Forecasting economic time series, 1998.
DOI : 10.1017/CBO9780511599286

M. Clements and D. Hendry, Forecasting non-stationary economic time series: the zeuthen lectures on economic forecasting, 1999.

M. Clements and D. F. Hendry, Pooling of forecasts, 2002.

M. P. Clements and D. F. Hendry, Forecasting with breaks. Handbook of economic forecasting, pp.605-657, 2006.

S. De-rooij, T. Van-erven, P. D. Grünwald, and W. M. Koolen, Follow the leader if you can, hedge if you must, 2014.
URL : https://hal.archives-ouvertes.fr/hal-00920549

F. X. Diebold, Forecast combination and encompassing: Reconciling two divergent literatures, International Journal of Forecasting, vol.5, issue.4, pp.589-592, 1989.
DOI : 10.1016/0169-2070(89)90014-9

F. X. Diebold and J. A. Lopez, Forecast evaluation and combination, 1996.

F. X. Diebold and P. Pauly, Structural change and the combination of forecasts, Journal of Forecasting, vol.11, issue.1, pp.21-40, 1987.
DOI : 10.1002/for.3980060103

F. X. Diebold and P. Pauly, The use of prior information in forecast combination, International Journal of Forecasting, vol.6, issue.4, pp.503-508, 1990.
DOI : 10.1016/0169-2070(90)90028-A

G. Elliott, A. Gargano, and A. Timmermann, Complete subset regressions, Journal of Econometrics, vol.177, issue.2, pp.357-373, 2013.
DOI : 10.1016/j.jeconom.2013.04.017

G. Elliott, A. Gargano, and A. Timmermann, Complete subset regressions with large-dimensional sets of predictors, Journal of Economic Dynamics and Control, vol.54, pp.86-110, 2015.
DOI : 10.1016/j.jedc.2015.03.004

G. Elliott and A. Timmermann, OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING*, International Economic Review, vol.49, issue.4, pp.1081-1102, 2005.
DOI : 10.1016/S0304-4076(99)00051-2

E. Even-dar, M. Kearns, Y. Mansour, and J. Wortman, Regret to the best vs. regret to the average, Machine Learning, pp.21-37, 2008.

Y. Freund and R. E. Schapire, A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting, Journal of Computer and System Sciences, vol.55, issue.1, pp.119-139, 1997.
DOI : 10.1006/jcss.1997.1504

J. A. Garcia, An introduction to the ecb's survey of professional forecasters, ECB Occasional Paper, issue.8, 2003.

V. Genre, G. Kenny, A. Meyler, and A. Timmermann, Combining expert forecasts: Can anything beat the simple average?, International Journal of Forecasting, vol.29, issue.1, pp.108-121, 2013.
DOI : 10.1016/j.ijforecast.2012.06.004

C. W. Granger and R. Ramanathan, Improved methods of combining forecasts, Journal of Forecasting, vol.62, issue.2, pp.197-204, 1984.
DOI : 10.1002/for.3980030207

E. Granziera, C. Luu, and P. St-amant, The accuracy of short-term forecast combinations, Bank of Canada Review, pp.201313-201334, 2013.

M. Guidolin and A. Timmermann, Forecasts of US short-term interest rates: A flexible forecast combination approach, Journal of Econometrics, vol.150, issue.2, pp.297-311, 2009.
DOI : 10.1016/j.jeconom.2008.12.004

D. F. Hendry and M. P. Clements, Pooling of forecasts, The Econometrics Journal, vol.8, issue.1, pp.1-31, 2004.
DOI : 10.1016/S0169-2070(02)00009-2

L. Hoogerheide, R. Kleijn, F. Ravazzolo, H. K. Van-dijk, and M. Verbeek, Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights, Journal of Forecasting, vol.18, issue.2, pp.251-269, 2010.
DOI : 10.1002/for.1145

C. Hsiao and S. K. Wan, Is there an optimal forecast combination?, Journal of Econometrics, vol.178, pp.294-309, 2014.
DOI : 10.1016/j.jeconom.2013.11.003

H. Huang and T. Lee, To Combine Forecasts or to Combine Information?, Econometric Reviews, vol.8, issue.5-6, pp.5-6534, 2010.
DOI : 10.1093/biomet/92.4.937

G. Kapetanios, V. Labhard, P. , and S. , Forecast combination and the Bank of England's suite of statistical forecasting models, Economic Modelling, vol.25, issue.4, pp.772-792, 2008.
DOI : 10.1016/j.econmod.2007.11.004

J. P. Lesage and M. Magura, A Mixture-Model Approach to Combining Forecasts, Journal of Business & Economic Statistics, vol.38, issue.4, pp.445-452, 1992.
DOI : 10.1080/07350015.1992.10509920

N. Littlestone and M. Warmuth, The Weighted Majority Algorithm, Information and Computation, vol.108, issue.2, pp.212-261, 1994.
DOI : 10.1006/inco.1994.1009

P. Newbold and D. I. Harvey, Forecast combination and encompassing. A companion to economic forecasting, pp.268-283, 2002.

A. Novales and R. F. De-fruto, Forecasting with periodic models A comparison with time invariant coefficient models, International Journal of Forecasting, vol.13, issue.3, pp.393-405, 1997.
DOI : 10.1016/S0169-2070(97)00026-5

A. J. Patton and K. Sheppard, Optimal combinations of realised volatility estimators, International Journal of Forecasting, vol.25, issue.2, pp.218-238, 2009.
DOI : 10.1016/j.ijforecast.2009.01.011

M. H. Pesaran and A. Timmermann, Small sample properties of forecasts from autoregressive models under structural breaks, Journal of Econometrics, vol.129, issue.1-2, pp.183-217, 2005.
DOI : 10.1016/j.jeconom.2004.09.007

D. E. Rapach, J. K. Strauss, and G. Zhou, Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy, Review of Financial Studies, vol.23, issue.2, pp.821-862, 2010.
DOI : 10.1093/rfs/hhp063

A. Sancetta, RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA, Econometric Theory, vol.1, issue.02, pp.598-631, 2010.
DOI : 10.1111/j.1467-9965.1991.tb00002.x

I. Sánchez, Adaptive Combination of Forecast With Application to Wind Energy Forecast, 2006 International Conference on Probabilistic Methods Applied to Power Systems, pp.679-693, 2008.
DOI : 10.1109/PMAPS.2006.360292

A. Sani, Machine Learning for Decision Making, 2015.
URL : https://hal.archives-ouvertes.fr/tel-01256178

A. Sani, G. Neu, and A. Lazaric, Exploiting easy data in online optimization, Advances in Neural Information Processing Systems, pp.810-818, 2014.
URL : https://hal.archives-ouvertes.fr/hal-01079428

J. Seabold and J. Perktold, Statsmodels: Econometric and statistical modeling with python, Proceedings of the 9th Python in Science Conference, 2010.

D. N. Sessions and S. Chatterjee, The combining of forecasts using recursive techniques with non-stationary weights, Journal of Forecasting, vol.47, issue.3, pp.239-251, 1989.
DOI : 10.1002/for.3980080309

J. Smith and K. F. Wallis, Combining point forecasts: The simple average rules, ok? manuscript, 2005.

J. Smith and K. F. Wallis, A Simple Explanation of the Forecast Combination Puzzle, Oxford Bulletin of Economics and Statistics, vol.64, issue.3, pp.331-355, 2009.
DOI : 10.1111/j.1468-0084.2008.00541.x

J. H. Stock and M. W. Watson, Forecasting output and inflation: the role of asset prices, National Bureau of Economic Research, 2001.

J. H. Stock and M. W. Watson, Combination forecasts of output growth in a seven-country data set, Journal of Forecasting, vol.23, issue.6, pp.405-430, 2004.
DOI : 10.1002/for.928

A. Timmermann, Forecast combinations. Handbook of economic forecasting, pp.135-196, 2006.

Y. Uematsu and S. Tanaka, Macroeconomic forecasting and variable selection with a very China France Germany Italy Japan UK US, 2015.