returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary … process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields … the problem of forecasting the term structure of interest rates with the assumption that the yield curve is driven by …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …

surface types. We finally show that our proposed model can also be effective in forecasting. We provide evidence that our … model significantly outperforms existing models in the forecasting of tennis match results. …

in its ability to accurately capture clusters and preserve or enhance forecasting accuracy. For a high …

filtering of time-varying volatility, and volatility forecasting. Specifically, we make use of the indirect inference method to …