We investigate the forecasting ability of the most commonly used benchmarks in financial economics. We approach the usual caveats of probabilistic forecasts studies – small samples, limited models and non-holistic validations – by performing a comprehensive comparison of 15 predictive...

We investigate the forecasting ability of the most commonly used benchmarks in financial economics. We approach the main methodological caveats of probabilistic forecasts studies – small samples, limited models and non-holistic validations – by performing a comprehensive comparison of 15...

This thesis deals with the mathematical models used to forecast future asset prices. Estimating asset prices is arguably one of the most relevant problems for risk managers, central bankers, and investors. Traditional statistical methods rely on point estimates or confidence intervals to...