underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

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 …

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

"><I>Journal of Applied Econometrics</I></A>, 2014, 29, pages 693-712.<P> Many economic studies on inflation forecasting have found … existing studies on interest rate forecasting either treat yields as being stationary, without any shifting endpoints, or treat … yields as a random walk process. In this study we consider the problem of forecasting the term structure of interest rates …

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