measures as exogenous variables can deliver comparable or even better performances on forecasting VaR and ES of major stock …

. The out-of-sample forecasting performance of the proposed model is evaluated against a number of standard models, using …

of our proposed factor-augmented forecasting models result in substantial predictive gains, as measured by out …-of-sample R squared, and via the application of predictive accuracy tests. In particular, forecasting gains are observed at …

We study whether and when parameter-driven time-varying parameter models lead to forecasting gains over observation … alternatives. We also find that GAS models outperform many familiar observation-driven models in terms of forecasting accuracy. The … results point to a class of observation-driven models with comparable forecasting ability to parameter-driven models, but …