forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector … theoretical performance guarantees on the forecast capability of our procedure. To be precise, we show that we can forecast future … margin at the longer forecast horizons. Finally, we investigate the economic value of our forecasts in a portfolio selection …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in … maturities and forecast horizons. Subsample analysis shows that this outperformance is also consistent over time. …

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 …

, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector … underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

"><I>Journal of Applied Econometrics</I></A>, 2014, 29, pages 693-712.<P> Many economic studies on inflation forecasting have found … existing studies on interest rate forecasting either treat yields as being stationary, without any shifting endpoints, or treat … yields as a random walk process. In this study we consider the problem of forecasting the term structure of interest rates …