five major OECD countries, namely United States, Germany, United Kingdom, The Netherlands and Japan, the other forecasting … relevant for forecasting 12 months ahead. …

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

This paper puts forward kernel ridge regression as an approach for forecasting with many predictors that are related … overfitting. We extend the kernel ridge regression methodology to enable its use for economic time-series forecasting, by …

wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …