structural time series models developed by the 4 NCBs as an additional forecasting tool. According to the forecast accuracy …

Quantile forecasting has become an important research topic in econometrics as policy makers and investors are … a novel methodology for out-of-sample quantile forecasting with textual data. It relies on elastic net quantile … regression to incorporate "attention" into the quantile forecasting model, allowing for the dictionary to vary over time and …

This thesis develops data-driven methods for the simulation and forecasting of financial time series. The contributions … without the cross-impact terms. We show however that cross-asset OFIs do improve the forecasting of future returns.In the … propose a new approach to forecasting one-day-ahead RVs using past intraday RVs as predictors, and expose interesting time …

-identification conditions based on time series of cross sections from the European Union Labor Force Survey, both with and without retrospective …