We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP …

general. In this paper, we used the Diebold-Li interpretation to the Nelson Siegel model in order to fit and forecast the … and efficiently estimated using the Kalman filter. The results obtained for the fit and for the forecast showed that the … Kalman filter is the most suitable method for the estimation of the model, generating better forecast for all maturities when …

forecast model that dominates all competitors. Focusing on Brazilian data, this paper aims to identify the existence of … models may vary over time. The problems of using individual models may be reduced by applying forecast combining schemes. The … empirical results show consistent forecast gains of combining schemes over time. In particular, the longer the forecast horizon …

This paper outlines a method to forecast FX spot rates. The data set consists of the Bloomberg FX spot rates for … returns in all three FX spot rates. The use of an out-sample to test the applicability of the AR(1) forecast supplements the …

Zeitpunkten werden präsentiert und diskutiert. -- Mehrländermodell ; Prognose ; Bayesianische Ökonometrie …

the exhaustive literature of forecast combinations and apply our newly developed combination method to test for the …