forecasting procedure, based on component models, improves the forecasting accuracy of traditional methods. Component models … Monte Carlo out-of-sample experiment reveals that component models improve the forecasting accuracy of traditional methods …

better than the Staff, and that the intuition of the FOMC does not add significantly in forecasting the actual values of the …

-09 financial crisis, and evaluate how the crisis aects the performance of risk models via forecasting VaR. Empirical analysis is …Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important …, especially during the 2008-09 global financial crisis. We pro- pose some novel nonlinear threshold conditional autoregressive VaR …

better than the Staff, and that the intuition of the FOMC does not add significantly in forecasting the actual values of the …

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

account of them in estimating and forecasting IV. This paper investigates through Monte Carlo simulations the effects of RV … errors on estimating and forecasting IV with RV data. It is found that: (i) neglecting RV errors can lead to serious bias in …