This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using …

The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the … under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … for forecasting weekly and monthly horizons. …

(2002). Some recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting …

forecasting. This so-called principal covariate index is constructed to forecast growth rates of the Composite Coincident Index …

begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance. In this paper, we provide an …

should enter the logbook. In a limited simulation experiment I illustrate an additional use of this expression, that is …, looking with hindsight if adjustment would have led to better results. The results of the simulation suggest that always …

found to perform better in out-of-sample forecasting than a benchmark linear model. An empirical illustration for US GDP …