explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are … procedures for the estimation of the factors and parameter estimation by maximum likelihood and Bayesian methods. An illustration …

wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

daily squared returns and intradaily squared returns for forecasting horizons ranging from 1 to 10 days. For the daily …

We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default … using dynamic factors from a large panel of selected macroeconomic and financial data as well as common unobserved risk … factors. All factors are statistically and economically significant and together capture a large part of the time-variation in …