. Preliminary evidence that mixed frequency based forecasting models yield improvements over standard fixed frequency models is …

forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

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

able to provide more accurate forecasting results than linear models. Therefore, simple autoregressive processes are … observations and autoregression residuals. The proposed forecasting models are applied to a large set of macroeconomic and … autoregression residuals, are somewhat able to provide better forecasting results than simple linear models. Thus, it may be …

using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear …

We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two …, 35, and 90 national-level macroeconomic time series and a dynamic forecasting methodology. Empirical results suggests …