mortality forecast accuracy by 13% - 49% and 19% - 90% for females over individual mortality models. The stacked regression …

used to construct a forecast. Second, we discuss random projection regression, where artificial predictors are formed by … randomly weighting the original predictors. Using recent results from random matrix theory, we obtain a tight bound on the mean … squared forecast error for both randomized methods. We identify settings in which one randomized method results in more …

extreme value theory. The out-of-sample forecasting performance of our methods turns out to be clearly superior to different … management ; extreme value theory ; monotonization ; CAViaR …

critically reviewed and compared, and their empirical potential highlighted via two applications. The out-of-sample forecast …

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …

at multiple horizons individually, we propose to jointly consider all horizons within a forecast path. We define the …

This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new …