under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

the high frequency (monthly) information is preserved and can still be analyzed. We also provide evidence that the …

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

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

construction methods, we find that this procedure leads to better interpretable factors and to a favorable forecasting performance …, both in a Monte Carlo experiment and in two empirical applications to large data sets, one from macroeconomics and one from …

predictive information for the daily average price. Multivariate models for the full panel of hourly prices significantly …

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

supplied information. Outside of the lab, it is difficult to disentangle the effect of the cost of information itself from the … effect of self-selection by individuals who tend to gain the most from this information. We thus create an environment in the … lab where subjects are offered additional, useful and identical information on the state of the world across treatments …

maximization problem of the firm. As a result, monitoring and pay should be complements. In our experiment, between and within …