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

We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved …

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …

incorporating the wavelet transform in existing forecasting methods can improve their quality. The article aims to verify this by … characteristics. We find that wavelets do improve the forecasting quality. Depending on the data's characteristics and on the … forecasting horizon we either favour a denoising step plus an ARIMA forecast or an multiscale wavelet decomposition plus an ARIMA …

regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …

In this paper we suggest an approach to comparison of models' forecasting performance in unstable environments. Our … tracking how the relative forecasting performance of competing models evolves over time. We illustrate the suggested approach …