Nonlinear time series models can exhibit components such as long range trends and seasonalities that may be modeled in a flexible fashion. The resulting unconstrained maximum likelihood estimator can be too heavily parameterized and suboptimal for forecasting purposes. The paper proposes the use...

This paper assesses the performance of volatility forecasting using focused selection and combination strategies to include relevant explanatory variables in the forecasting model. The focused selection/combination strategies consist of picking up the model that minimizes the estimated risk...