The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the … 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 paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

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 …

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures … outperform existing dynamic conditional correlation models for forecasting future covariances. Among the new fMSV models, the … Cholesky MSV model with long memory and asymmetry shows stable and better forecasting performance for one-day, five-day and ten …

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 …