, 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. …This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point …

, 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. …This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point …

wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …

of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …