forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …

forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …

that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …

slack or oil price fluctuations, motivated by a novel interpretation of the forecasting implications of the workhorse open …

-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature … for forecasting consumption developments. …