Forecasting with the maximum of correlated components having bivariate t-distributed errors

The value of the maximum of two forecasts as a component ina linear combination forecast is assessed when the errors havea bivariate t distribution. It is found that, while the maximummay provide information additional to that of the mean forecastif the components are not equally biased and have heteroscedasticerrors, the best linear combination forecast does not give anyweight to the maximum.