volatility forecasting of crude oil with a vast variety of empirical analyses and robustness checks. Although the conventional …

volatility, based on estimated portfolio factor loadings and responsive estimates of factor volatility. These predictions are of … of Defined Contribution pension plans. Because return volatility is variable and mean-reverting, the square root rule for … extrapolating short-term volatility predictions to medium-horizon (one year to ten years) risk predictions systematically overstates …

I apply the model with unobserved components and stochastic volatility (UC-SV) to forecast the Russian consumer price …

strategies. The high volatility of cryptocurrencies turns them a really risky investment and consequently, appropriate risk … between cryptocurrencies, we propose a methodology based on vine copulas and robust volatility models. Our procedure is …

probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close …

-crises level is expected by the end of 2022. Forecast for the Russian economy has been improving too, decrease of GDP will not … debt without the risk to Russia's debt sustainability. In 2021, the high budget deficit will remain (no less than 5,0% of …