We propose the use of a risk measure built on flight-to-safety (FTS) episodes into a volatility forecasting model. We …. Superior model performance is found over some of the most common volatility forecasting models proposed in the literature that …

The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH …

In this paper, we develop new latent risk measures that are designed as a prior synthesis of key forecasting … usefulness of a large variety of machine learning methods for forecasting equity returns at market and sector levels. In addition … significantly improve forecasting performance relative to the random walk and linear benchmark alternatives, when comparing mean …

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …

forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …