tests wheter the densities provided from American options provide a good forecasting tool. We use a non-parametric test of … series nature of the transformed variables when the forecasting windows overlap. The inverse probability of the realized …

tests wheter the densities provided from American options provide a good forecasting tool. We use a non-parametric test of …

tests wheter the densities provided from American options provide a good forecasting tool. We use a non-parametric test of … series nature of the transformed variables when the forecasting windows overlap. The inverse probability of the realized …

stochastic volatility models have the best fit and forecasting performance, hence superior neutral band estimates. …

range of conventional and alternative measures of forecasting accuracy. The results demonstrate that incorporating …, estimating these models in state-space form substantially improves forecasting accuracy to the extent that the model and random …

Consider forecasting the economic variable Y_{t h} with predictors X_{t}, where h is the forecast horizon. This paper … forecasting: one that requires the point forecast model to be correctly specified, and one that is based on fully nonparametric … CDF estimate of Y_{t h}|X_{t}. An application to exchange rate forecasting is presented. Copyright copy; 2010 John Wiley …

-term predictions. Due to the characteristics of the residuals, a bootstrapping method of forecasting was also used, yielding even …

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …