Stock returns are characterized by extreme observations, jumps that would not occur under the smooth variation of a … Gaussian process. We find that jumps are prevalent in most countries. This has been little investigation of whether the jumps … diversification is less effective when jumps are frequent, unpredictable and strongly correlated. Public supervisors may also mind …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

Forecasting the world economy is a di¢ cult task given the complex interre-lationships within and across countries …, …rst, at ranking various forecasting methods in terms offorecast accuracy and, second, at checking whether methods … forecasting di-rectly aggregate variables (direct approaches) outperform methods based onthe aggregation of country …