Forecasting in the presence of in-sample and out-of-sample breaks

Forecasting return volatility : level shifts with varying jump probability and mean reversion

Xu, Jiawen, (2014)

Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"

Perron, Pierre, (2016)

Rejoinder to the discussion "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models"

Blasques, Francisco, (2016)