market characteristic. iv) The volatility of the realized volatility is not constant and common to all. v) A forecasting …

of the realized volatility is not constant and common to all. v) A forecasting horse race against 8 competing models …

The objective of this paper is to analyze and analytically quantify the effect of additive outliers in the forecasting …

It has been acknowledged that wavelets can constitute a useful tool for forecasting in economics. Through a wavelet … each component to improve the forecast accuracy of the series as a whole. Up to now, the literature on forecasting with … research has emerged on forecasting with large datasets. In particular, the use of factor‐augmented models have become quite …

variable selection and estimation in one step. We evaluate the forecasting accuracy of these estimators for a large set of …