Forecasting the economic policy uncertainty in Europe is of huge importance given the on-going debt crisis and the Brexit vote. George Filis evaluates monthly out-of-sample economic policy uncertainty index forecasts and examines whether ultra-high frequency information from asset market volatilities and global economic policy uncertainty can improve the forecasts relatively to the no-change forecast. George Filis is Professor of Financial Economics. He joined the department of Accounting, Finance and Economics in September 2012 as Senior Lecturer. His main teaching interests include money, banking and financial economics. His main research interests include energy economics, financial economics, business cycles and tourism economics. George Filis’ research focuses on the modelling and forecasting of oil prices and oil price volatility.