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 …

deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We …

practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the …

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are … implementation of our forecasting procedure relies on the multivariate linear Gaussian state space framework and is applied to … national French hourly electricity load. The analysis focuses on two hours, 9 AM and 12 AM, but forecasting results are …

We study whether and when parameter-driven time-varying parameter models lead to forecasting gains over observation … alternatives. We also find that GAS models outperform many familiar observation-driven models in terms of forecasting accuracy. The … results point to a class of observation-driven models with comparable forecasting ability to parameter-driven models, but …

This paper develops a novel approach to modeling and forecasting realized volatility (RV) measures based on copula … index futures, we find that the copula-based RV (C-RV) model outperforms conventional forecasting approaches for one …