Franses, Philip Hans; Welz, Max - In: Journal of risk and financial management : JRFM 13 (2020) 3/44, pp. 1-7
Professional forecasters can rely on an econometric model to create their forecasts. It is usually unknown to what extent they adjust an econometric model-based forecast. In this paper we show, while making just two simple assumptions, that it is possible to estimate the persistence and variance...