explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

extreme value theory. The out-of-sample forecasting performance of our methods turns out to be clearly superior to different …

under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …-at-risk with a duration-based POT method, and extreme market risk and extreme value theory. …

of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting …