performance of competing models in forecasting is used to assess the adequacy of a specific model. To account for nonstationarity … considerably but in most cases under study this model class involves a loss in ex-ante forecasting relative to nonperiodic models … and Swedish data forecasting exercises yield a unique recommendation of unit roots in consumption and income data which is …

as semiparametric time series models are evaluated in terms of fitting and ex ante forecasting. The overall impact of …

as semiparametric time series models are evaluated in terms of fitting and ex ante forecasting. The overall impact of …

traders. Moreover, we document forecasting results based on a short horizon trading strategy. The proposed model is …

means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting … on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision …

means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting … on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision …

means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting … on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …