We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China’s key macroeconomic variables: GDP growth, inflation and the 7-day interbank lending rate. The approach takes into account possible structural changes in the data-generating...

We model the term structure of implied volatility (TSIV) with an adaptive approach to improve predictability, which treats dynamic time series models of globally time- varying but locally constant parameters and uses a data-driven procedure to ?nd the local optimal interval. We choose two...