We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … volatility in all three markets, relative to past continuous and jump components, and it is an unbiased forecast in the foreign … exchange and stock markets. Out-of-sample forecasting experiments confirm that implied volatility is important in forecasting …

evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …

obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on … continuous time theory. In explanatory financial variability modelling this raises several methodological and practical issues … properties of operational and practical procedures for the forecast evaluation of explanatory discrete time models of financial …

fundamental importance. We propose a simple statistical method for short-term real-time forecasting of the number of Covid-19 … tracking the number of cases in those countries, we forecast through an adaptive rolling-window scheme the number of cases and …

Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … volatility components. From a practical point of view, ML also becomes computationally unfeasible for large numbers of components … forecasts which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo …

forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … which in principle is applicable for any continuous distribution with any number of volatility components. Monte Carlo … linear compared to optimal forecasts is small. Extending the number of volatility components beyond what is feasible with MLE …

on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new … directions. First, the realized variance is a much better estimate of the latent volatility than the sum of the weighted daily … squared returns. As such it is better suited for comparing the out-of-sample performances of competing volatility models …

' performance is skill-based. 'Superior' forecasters show consistent ability as their forecasting success holds across currencies …

markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences …

reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that a topically oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …