In our study, we individually forecast 26 metal prices one-month ahead and outperform the predefined benchmark model, a … differences in predictability between the metal groups are remarkable, as we are able to forecast 13 of 17 minor metals, 5 of 6 …

selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al …. (2010c). The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models … for the entire period. This paper presents evidence to support the claim that the median point forecast of VaR is …

-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point …