filtering of time-varying volatility, and volatility forecasting. Specifically, we make use of the indirect inference method to …

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

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

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …