forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

linear models, as do Bhardwaj and Swanson, we analyze the business cycle effects on the forecasting performance of these … ARFIMA, AR, MA, ARMA, GARCH, and STAR models. This is done via examination of ex ante forecasting evidence based on an … the relative forecasting performance of ARFIMA models. …

discussed in Granger (1999). We present ex ante forecasting evidence based on an updated version of the absolute returns series …

forecasting models are used widely for prediction, and it is important to understand when such models are stable. Now, forecast … factor augmented forecasting model regression coefficients. The proposed statistic is based on the difference between full … reject the null ensures the structural stability of the factor augmented forecasting model. If the null is instead rejected …

primarily on linear models, as do Bhardwaj and Swanson, we analyze the business cycle effects on the forecasting performance of … these ARFIMA, AR, MA, ARMA, GARCH, and STAR models. This is done via examination of ex ante forecasting evidence based on an … the relative forecasting performance of ARFIMA models …

-augmented models result in substantial out-of-sample predictive accuracy improvement. In particular, forecasting gains are observed at … financial assets, inasmuch as forecasting gains associated with factor-augmented models for these types of assets are largely …