returns for equity returns for all the countries across various forecast horizons and the length of out-of-sample periods …

We explore interval forecast comparison when the nominal confidence level is specified, but the quantiles on which … interval forecast loss functions should meet in such environments, and we show that a variety of popular approaches to interval … forecast comparison fail them. Our negative results strengthen the case for abandoning interval forecasts in favor of density …

react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …

react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …

environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …

unable to discriminate among a set of plausible forecast distributions because of partial identification or concerns about … of forecast distributions. We show that for a large class of models including semiparametric panel data models for … having to estimate the set of forecast distributions and develop a suitable asymptotic efficiency theory …

This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …