Contemporaneous inference from economic data releases for policy and business decisions has become increasingly relevant in the high pace of the information age. The released data are typically filtered to eliminate seasonal patterns to reveal underlying trends and cycles. The nature of economic...

We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend GARCH and long-memory forecasting models to include additional information: the whole night, the preopen, the postclose realized variance, and the overnight squared return. For four...

This paper examines the out-of-sample forecasting performance of the S&P/Case-Shiller Home Price Index by a simple ARIMA model. We find that the model failed to predict the housing bubble burst. However, the model has successfully predicted declining prices since 2006:6; therefore, the magnitude...