We present a simple new methodology to allow for time-variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. It exploits the link between exponentially weighted moving average and integrated dynamics of score driven time varying parameter...

Recent Value-at-Risk (VaR) models based on historical simulation often incorporate approaches where the volatility of the historical sample is rescaled or filtered to better reflect current market conditions. These filtered historical simulation (FHS) VaR models are now widely used in the...

Interest rate data are an important element of macroeconomic forecasting. Projections of future interest rates are not only an important product themselves, but also typically matter for forecasting other macroeconomic and financial variables. A popular class of forecasting models is linear...