only its applicability to arbitrary continuous distributions but also the evaluation of the forecast accuracy in specific …

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …

Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic … Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including …

Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little … therefore develop graphical checks (Murphy diagrams) of whether one forecast method dominates another under a relevant class of …

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when … the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast … optimally does not improve forecast accuracy; (e) all variants except the large BVAR tend to be well calibrated for inflation …

This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new …

the PIT of the score. The second is based on comparing the expected performance of the forecast distribution (i.e., the … and power properties in simulations and solve various problems of existing tests. We apply the new tests to forecast …