directional forecasts can provide a useful framework to assess the economic forecast value when loss functions (or success … directional forecast value is a readily available alternative to the commonly used squared error loss criterion. -- Directional … forecasts ; directional forecast value ; forecast evaluation ; economic forecast value ; mean squared forecast error ; mean …

employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing …. To evaluate ex-ante forecasting performance for particular rates, different forecast features such as mean squared errors … offers additional forecast accuracy in terms of directional accuracy and big hit ability. -- Principal components ; ex …

improved forecast in a benchmark level of inflation and will provide good implications for financial markets. …

Autoregressive (HAR) class models. Therefore, we propose to model and forecast the realized volatility of the EU ETS futures with HAR … certificates for the second EU-ETS trading period (expiry December 2008-2012). The estimation results of the models allow to …