account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression … of Professional Forecasters. The results show that forecast changes are governed by overreaction. However, overreaction …

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 … as predictors. Third, we pool the forecasts in clusters to hedge against model risk and to evaluate the usefulness of …, and reducing tail risk. Using the same approach for return forecasts, however, does not lead to a consistent …

performances of the predictive densities. For illustrative purposes we apply it to combine White Noise and GARCH models to forecast …

The objective of this work is to assess and forecast the volatilities of prices on the Nigeria Stock Exchange. The ARCH … family (ARCH, GARCH, TGARCH, EGARCH and PGARCH) and ARIMA models are used to assess and forecast volatilities in prices on …

account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model … uncertainty. Furthermore, returns are found to be more relevant for forecast changes in short time horizons while uncertainty …