variable selection and estimation in one step. We evaluate the forecasting accuracy of these estimators for a large set of …

evaluation. An important implication is that forecasting superiority of models using high frequency data is likely to be …

been proposed. A related strand of literature focuses on dynamic models and covariance forecasting for high-frequency data … address, is the relative importance of the quality of the realized measure as an input in a given forecasting model vs. the …

forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset …

forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …