This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …

clear message: The RV-MRW is throughout the best model for all forecast horizons under the MAE criterium as well as for … large forecast horizons h=50 and 100 days under the MSE criterion. Moreover, the RV-MRW provides most accurate 20-day ahead …