estimator for forecasting time series, with a special attention to GARCH and ACD models. The local large sample properties of … suboptimal for forecasting purposes. The paper proposes the use of a class of shrinkage estimators that includes the Ridge …-daily financial durations forecasting application. The empirical application shows that an appropriate shrinkage forecasting …

This paper assesses the performance of volatility forecasting using focused selection and combination strategies to … include relevant explanatory variables in the forecasting model. The focused selection/combination strategies consist of … BIC. The methodology is applied to a daily recursive 1--step ahead value--at--risk (VaR) forecasting exercise of 4 widely …

In this paper we address the issue of forecasting Value–at–Risk (VaR) using different volatility measures: realized … baseline GARCH but not so relative to the range; there are relevant gains from modeling volatility trends and using realized …

develop a forecasting model based on their conditional dynamics. As all are non-negative series, we develop a multiplicative …