This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts … and the time sample used for VaR backtesting. The calculated VaR values are then compared using three different testing …

We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the … prediction mean squared error over forecasting the disaggregates and aggregating those forecasts, or using only aggregate … information in forecasting the aggregate. An implication of a general theory of prediction is that the first should outperform the …

-term relationship. We finally conclude by comparing the forecasting ability of these two approaches with classical models such as Random …

key issue is this: In the literature on developing forecasting models, new models are put together based on the results … variety of exercises designed to answer this question. In particular, we find that real-time data matters for some forecasting …

VAR modelling is a frequent technique in econometrics for assumed linear processes. VAR modelling offers some desirable … structure, it cannot be equivalently represented by any finite-order VAR model. On the other hand, a finite-order state space … provide better forecasts than VAR models when working with VARMA data generating processes. In a simulation study we generate …