We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving … rates illustrates the usefulness of our forecasting procedure. The empirical success of the HAR-RV model is explained, from … an econometric perspective, by our theoretical and simulation results. …

in conditional forecasting, since the specification that employs actual values on the uncertain information performs …

approach,based on the S-estimation method, to construct forecasting models that are less sensitive to data contamination by … accuracy and sign predictability measures. We find that robust models tend to improve the forecasting accuracy of the AR and of …

This paper compares the performance of "aggregate" and "disaggregate" predictors in forecasting contemporaneously … aggregated vector ARMA processes. An aggregate predictor is built by forecasting directly the aggregate process, as it results … sufficient (not necessary) for the equality of mean squared errors. Finally, it is shown that the equality of forecasting …

– 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …