, stochastic volatility coupled with fat tails, GARCH and mixture of innovation models. The comparison is based on the accuracy of … volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. …

We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH … nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models. …

We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to … space models with particular attention to MS-GARCH models. Our multi-move sampling strategy is based on the Forward … Filtering Backward Sampling (FFBS) applied to an approximation of MS-GARCH. Another important contribution is the use of multi …

-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between …

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model … provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting …

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … and useful for forecasting. …

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … and useful for forecasting. …