variables by aggregation. To investigate the potential gain in using such a large information set, we compare the forecasting …

A forecasting exercise is presented to assess the predictive potential of a daily price index based on online prices …

forecasting ability of the spread. Klassifikation: …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such … as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we … incorporate Google search data into a Bridge Equation Model, a version of which usually belongs to the suite of forecasting models …

of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …