forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and … estimation, and the current state of their empirical applications. …

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed … for the estimation of a joint system of short-run and medium run investor sentiment and asset price dynamics using German …

We study the forecasting performance of three alternative large scale approaches using a dataset for Germany that … vector autoregression and model averaging techniques, where aggregation takes place before, during and after the estimation … indicate that in many cases the gains in forecasting accuracy relative to a simple univariate autoregression are only moderate …