to its improvement in return density forecasting. Empirical applications to equity data show that several RCOV estimators … consistently perform better than others and emphasize the importance of RCOV selection in covariance modeling and forecasting. …

linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an … in terms of superiority in forecasting performance. Therefore, the aim of this study is to build an early warning system …

extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models …