The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the … under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

We analyze the forecasting performance of small mixed frequency factor models when the observed variables share … transfer of information among indicators. We find that allowing for common trends improves forecasting performance over a …

We analyze the forecasting performance of small mixed frequency factor models when the observed variables share … transfer of information among indicators. We find that allowing for common trends improves forecasting performance over a …

We address the issue of modelling and forecasting macroeconomic variables using medium and large datasets, by adopting …

interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting … Vector Regression (SVR) methodology that originates from machine learning. We test the forecasting ability of the proposed …-of-sample forecasting. Finally, we argue that this new methodology can be used as an early warning system for forecasting sudden house …

multi-step out-of-sample forecasting competition. It turns out that forecasts are improved substantially when allowing for …

In this paper, we study main problems and practical issues of modeling and forecasting of macroeconomic variables in … variables and employ two forecasting methodologies (Waggoner and Zha (1999), Banbura, Giannone and Lenza (2014)) to construct … modeling and forecasting of macroeconomic variables and provide some policy recommendations to improve quality of statistical …