volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a …

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the …-known stylized effects present in financial data. We consider an HAR model with asymmetric effects with respect to the volatility and … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …

forecasts and probabilistic prediction intervals for demographic parameters in addition. Age-sex specific population forecast …-specific population forecast using the cohort-component method. The consequence for the German pension system is discussed. To maintain …

development and production processes. With this in mind, this paper proposes new multivariate models to forecast monthly car sales … data using economic variables and Google online search data. An out-of-sample forecasting comparison with forecast horizons … forecast horizons. These results also hold after several robustness checks which consider nonlinear models, different out …

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …

past domestic volatilities does not generally affect the mean and the volatility of the estimated thresholds. Specifically …, with the exception of the Italian market we find at least two volatility regimes, due to an asymmetric structure of … volatility as a function of bad and good domestic news. Moreover, in the majority of the series under scrutiny we also identify …