-frequency case. Having an application of macroeconomic forecasting in mind, one inevitably has to deal with variables sampled at … forecasting. However, the presented MF-BC-VAR model provides competitive results within the baseline evaluation, but suffers in a …

tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression … power in many practical situations and therefore frequently selects incorrect forecasting models. The empirical results … provide some evidence that GARCH-t models provide good density forecasts. The results further suggest that extensions of …

tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression … power in many practical situations and therefore frequently selects incorrect forecasting models. The empirical results … provide some evidence that GARCH-t models provide good density forecasts. The results further suggest that extensions of …

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments …, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …

This paper proposes a double tree structured AR-GARCH model for the analysis of stock index return series, which … (local) AR-GARCH model for a partition cell of a (multivariate) state space. Each cell can depend on the conditioning values … for instance the GJR-AR-GARCH model, the double TAR-GARCH model or the VS-GARCH model. We propose a computationally …

market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models …, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …