provide a theoretical justification of the use of random subspace methods and show their usefulness when forecasting monthly …

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

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

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …

forecasting occur much less frequently than indicated by existing tests. …

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 …