M. Aiolfi, C. Capistrán, and A. G. Timmermann, Forecast combinations, pp.2010-2031, 2010.
DOI : 10.1093/oxfordhb/9780195398649.013.0013

M. Aiolfi and A. Timmermann, Persistence in forecasting performance and conditional combination strategies, Journal of Econometrics, vol.135, issue.1-2, pp.31-53, 2006.
DOI : 10.1016/j.jeconom.2005.07.015

J. S. Armstrong, Combining Forecasts, Principles of forecasting, pp.417-439, 2001.
DOI : 10.1007/978-0-306-47630-3_19

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

M. Billio, R. Casarin, F. Ravazzolo, V. Dijk, and H. K. , Time-varying combinations of predictive densities using nonlinear filtering, Journal of Econometrics, vol.177, issue.2, pp.213-232, 2013.
DOI : 10.1016/j.jeconom.2013.04.009

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

Y. Chen, K. Rogoff, and B. Rossi, Can exchange rates forecast commodity prices?, National Bureau of Economic Research, 2008.
DOI : 10.2139/ssrn.1183164

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=

G. Claeskens, J. R. Magnus, A. L. Vasnev, W. , and W. , The forecast combination puzzle: A simple theoretical explanation, 2014.
DOI : 10.1016/j.ijforecast.2015.12.005

URL : http://repub.eur.nl/pub/77116/2014-127.pdf

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

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=

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.
DOI : 10.1016/s1574-0706(05)01012-8

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

D. Negro, M. Hasegawa, R. B. Schorfheide, and F. , Dynamic prediction pools: An investigation of financial frictions and forecasting performance, Journal of Econometrics, vol.192, issue.2, pp.391-405, 2016.
DOI : 10.1016/j.jeconom.2016.02.006

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 combi- nation, 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, Averaging and the optimal combination of forecasts, 2011.

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

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=

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.
DOI : 10.1007/978-3-540-72927-3_18

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=

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

T. Gneiting, Making and Evaluating Point Forecasts, Journal of the American Statistical Association, vol.106, issue.494, pp.746-762, 2011.
DOI : 10.1198/jasa.2011.r10138

URL : http://arxiv.org/abs/0912.0902

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 shortterm 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, SSRN Electronic Journal, vol.150, issue.2, pp.297-311, 2009.
DOI : 10.2139/ssrn.814071

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

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=

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

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=

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

URL : http://dx.doi.org/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

URL : http://eprints.ucm.es/30888/

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

URL : http://www.sciencedirect.com/science?_ob=ShoppingCartURL&_method=add&_eid=1-s2.0-S0169207009000107&originContentFamily=serial&_origin=article&_ts=1488256476&md5=e8dc70c7317822118207bc3a398bf673

M. H. Pesaran, A. Pick, and M. Pranovich, Optimal forecasts in the presence of structural breaks, Journal of Econometrics, vol.177, issue.2, pp.134-152, 2013.
DOI : 10.1016/j.jeconom.2013.04.002

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, 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 9 th 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

J. Tian and H. M. Anderson, Forecast combinations under structural break uncertainty, International Journal of Forecasting, vol.30, issue.1, pp.161-175, 2014.
DOI : 10.1016/j.ijforecast.2013.06.003

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 large number of predictors: A penalized regression approach. arXiv preprint, 2015.

R. Vershynin, How Close is the Sample Covariance Matrix to??the??Actual Covariance Matrix?, Journal of Theoretical Probability, vol.18, issue.3, pp.655-686, 2012.
DOI : 10.1007/s10959-010-0338-z

URL : http://arxiv.org/abs/1004.3484

V. Vovk, AGGREGATING STRATEGIES, Proceedings of the third annual workshop on Computational learning theory (COLT), pp.371-386, 1990.
DOI : 10.1016/B978-1-55860-146-8.50032-1

D. F. Waggoner and T. Zha, Confronting model misspecification in macroeconomics, Journal of Econometrics, vol.171, issue.2, pp.167-184, 2012.
DOI : 10.1016/j.jeconom.2012.06.013

URL : http://www.nber.org/papers/w17791.pdf

Y. Yang, COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS, Econometric Theory, vol.137, issue.01, pp.176-222, 2004.
DOI : 10.1017/S0266466604201086

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=