In real time forecasting, the sample is usually split into an estimation period of R observations and a prediction … case of non-vanishing parameter estimation error. The second is an out of sample version of the integrated conditional …

. In this paper I propose an analytical test for density forecast evaluation using the Smooth Test procedure for both … distribution or types of dependence) of departure, thereby helping in deciding possible modifications of the assumed forecast model …. I also address the issue of where to split the sample into in-sample (estimation sample) and out-of-sample (testing …

of the option which is not present in past returns. Using GMM estimation consistent with telescoping observations …

Filtering techniques are often applied to the estimation of dynamic latent variable models. However, these techniques …