construction methods, we find that this procedure leads to better interpretable factors and to a favorable forecasting performance …

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 …

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

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …

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

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

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

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

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 …