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 …

investment strategy including transaction costs. Another empirical example refers to forecasting US economic growth over the … business cycle. It suggests that time varying combination schemes may be very useful in business cycle analysis and forecasting …

for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … the intraday volatility measure. For forecasting horizons ranging from one day to one week the most accurate out …