improves the forecasting of the aggregated series compared to using the aggregated series alone. We used econometric techniques …-horizon Superior Predictive Ability (uSPA) tests, used to select the best forecasting model by combining different horizons. Our sample … forecasting horizons that are more than one month ahead using the mean square error, and the aggregated ETS has better forecasting …

, including statistical misspecification, non-identification of deep parameters, substantive inadequacy, weak forecasting …

volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate …

-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of … Kriging method based on the anisotropic variogram. Furthermore, a comparison with other recent methods for forecasting yield … competitive with the other forecasting models considered. …

In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto …

-GARCH-MIDAS model outperforms others in forecasting cryptocurrency volatility. Furthermore, we uncover that, in contrast to their …