across countries by using a two-step approach that selects the most accurate linear or non-linear forecasting method for each … outperform ARIMA linear models for longer forecasting horizons. This holds true for countries with both soft and brisk changes of … expectations. However, when forecasting one step ahead, the performance between the two methods is similar. …

extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models …This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …