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

suboptimal for forecasting purposes. The paper proposes the use of a class of shrinkage estimators that includes the Ridge … estimator for forecasting time series, with a special attention to GARCH and ACD models. The local large sample properties of … forecaster. The usefulness of such shrinkage techniques is illustrated by means of a simulation exercise and an intra …

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 …

identified, reaching the specification of three distinct forecasting models for both non-financial corporation and for households … the forecasting performance. Finally, by impulse response functions the paper simulate the impacts of the various shocks …