coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of …

forecasting implications are also considered. Empirical analyses are conducted using data for the U.S., the U.K., and Australia … cointegration for forecasting purposes proves particularly useful since the start of the financial crisis …

forecasting implications are also considered. Empirical analyses are conducted using data for the U.S., the U.K., and Australia … cointegration for forecasting purposes proves particularly useful since the start of the financial crisis …

shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that …

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and … real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean … reversion is active only conditional on certain threshold values in the observed variables. We investigate whether findings of …