Markov switching GARCH models have been developed in order to address the statistical regularity observed in financial …

This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial … production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate … linear models perform about as well for almost every forecasting horizon …

produce large reductions in the out-of-sample prediction mean squared error and provides a useful alternative to forecasting …

hampering efforts at prediction. In this paper, we present a unified framework for forecasting the global electronics cycle by … indicators. An evaluation of their relative accuracy suggests that the VAR model's forecasting performance is superior to that of …

, which should be manifested, possibly with a lag, in both producer and consumer prices. We build a forecasting model based on …

We consider the estimation of a large number of GARCH models, say of the order of several hundreds. Especially in the …