to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange …

modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM … where local estimation windows are fixed on an ad hoc basis. -- multiplicative error model ; local adaptive modelling ; high …

This paper proposes a new methodology based on textual analysis to forecast U.S. recessions. Specifically, the paper … activity. When used in a standard recession probability model, the index outperforms the yield curve based forecast, a standard … method to forecast recessions, at medium horizons, up to 8 months. Moreover, the index contains information not included in …

-specification, estimation uncertainty and mis-measurement error. Forecastorigin shifts in parameters affect absolute, but not relative, forecast … accuracies; mis-specification and estimation uncertainty induce forecast-error differences, which variable-selection procedures …To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those …

. This approach is applied for temperature futures referring to New York, Minneapolis and Cincinnati with forecast data 13 … days in advance. Despite this relatively short forecast horizon, the models using meteorological forecasts outperform the … classical approach and more accurately forecast the market prices of the temperature futures traded at the Chicago Mercantile …