Fotios Petropoulos would like to thank all the co-authors of this article for their very enthusiastic response and participation in this initiave. He would also like to thank Pierre Pinson for inviting this paper to be submitted to the International Journal of Forecasting. The constructive comments and suggestions from this advisory board were vital in improving the paper. He also thanks Artur Tarassow for offering a list of Gretl’s software functionalities.

Jakub Bijak’s work received funding from the European Union’s Horizon 2020 research and innovation programme, grant 870299 QuantMig: Quantifying Migration Scenarios for Better Policy.

Clara Cordeiro is partially financed by national funds through FCT – Fundação para a Ciência e a Tecnologia under the project UIDB/00006/2020.

Fernando Luiz Cyrino Oliveira acknowledges the support of the Coordination for the Improvement of Higher Level Personnel (CAPES) – grant number 001, the Brazilian National Council for Scientific and Technological Development (CNPq) – grant number 307403/2019-0, and the Carlos Chagas Filho Research Support Foundation of the State of Rio de Janeiro (FAPERJ) – grant numbers 202.673/2018 and 211.086/2019.

Shari De Baets was funded by the FWO Research Foundation Flanders.

Joanne Ellison acknowledges the support of the ESRC FertilityTrends project (grant number ES/S009477/1) and the ESRC Centre for Population Change (grant number ES/R009139/1).

Piotr Fiszeder was supported by the National Science Centre project number 2016/21/B/HS4/00662 entitled “Multivariate volatility models - the application of low and high prices”.

David T. Frazier has been supported by Australian Research Council (ARC) Discovery Grants DP170100729 and DP200101414, and ARC Early Career Researcher Award DE200101070.

Mariangela Guidolin acknowledges the support of the University of Padua, Italy, through the grant BIRD188753/18.

David F. Hendry gratefully acknowledges funding from the Robertson Foundation and Nuffield College.

Yanfei Kang acknowledges the support of the National Natural Science Foundation of China (number 11701022) and the National Key Research and Development Program (number 2019YFB1404600).

Stephan Kolassa would like to thank Tilmann Gneiting for some very helpful tips.

Gael M. Martin has been supported by Australian Research Council (ARC) Discovery Grants DP170100729 and DP200101414.

Alessia Paccagnini acknowledges the research support by COST Action “Fintech and Artificial Intelligence in Finance - Towards a transparent financial industry” (FinAI) CA19130.

Jose M. Pavía acknowledges the support of the Spanish Ministry of Science, Innovation and Universities and the Spanish Agency of Research, co-funded with FEDER funds, grant ECO2017-87245-R, and of Consellería d’Innovació, Universitats, Ciència i Societat Digital, Generalitat Valenciana – grant number AICO/2019/053.

Diego J. Pedregal and Juan Ramon Trapero Arenas acknowledge the support of the European Regional Development Fund and Junta de Comunidades de Castilla-La Mancha (JCCM/FEDER, UE) under the project SBPLY/19/180501/000151 and by the Vicerrectorado de Investigación y Política Científica from UCLM through the research group fund program PREDILAB; DOCM 26/02/2020 [2020-GRIN-28770].

David E. Rapach thanks Ilias Filippou and Guofu Zhou for valuable comments.

J. James Reade and Han Lin Shang acknowledge Shixuan Wang for his constructive comments.

Michał Rubaszek is thankful for the financial support provided by the National Science Centre, grant No. 2019/33/B/HS4/01923 entitled “Predictive content of equilibrium exchange rate models”.