We devise a novel approach to combine predictions of high dimensional conditional covariance matrices using economic criteria based on portfolio selection. The combination scheme takes into account not only the portfolio objective function but also the portfolio characteristics in order to...

In this paper, we analyze the forecasting performance of several parametric extensions of the popular Dynamic Nelson-Siegel (DNS) model for the yield curve. Our focus is on the role of additional and time-varying decay parameters, conditional heteroscedasticity, and macroeconomic variables. We...