context of risk models, interest centers on more than just a single point of the forecast distribution. For example, value-at-risk … approach to evaluating such forecasts. It requires evaluation of the entire forecast distribution, rather than a value-at-risk …

portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …

pattern that is consistent with Hicks' composite-good theorem and that may be used for forecasting. To determine whether one …

from other aspects of the forecasting process, resulting in inefficient forecasting techniques and seemingly puzzling … forecasting process. …

Exchange rate forecasting is hard and the seminal result of Meese and Rogoff (1983) that the exchange rate is well … constructing other forecasting models. However, in several other macro and financial forecasting applications, researchers in … recent years have considered methods for forecasting that combine the information in a large number of time series. One …

construct volatility forecasts, which compare favorably with some leading alternatives in an out-of-sample forecasting exercise. …While it is clear that the volatility of asset returns is serially correlated, there is no general agreement as to the … modeling financial market volatility using high frequency data. The method avoids using a tight parametric model, by instead …