as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample …

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

and when parameter-driven time-varying parameter models lead to forecasting gains over observation-driven models. We … 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 …

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 …

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 …

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 …

This discussion paper resulted in a publication in the 'International Journal of Forecasting', 2009, 27, 282-303.<P …