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 …

similar to the familiar RiskMetrics approach. We update parameters using the score of the forecasting distribution rather than … other choices of the preferred forecasting distribution. We apply our method to Value-at-Risk forecasting with Student's t … methods for volatility forecasting of individual stock returns and exchange rates. …

forecasting performance in different regions of the support. Our analysis highlights the importance of allowing for lower and … upper tail dependence for accurate forecasting of common extreme appreciation and depreciation of different currencies. …

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 …