This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...

Conditional efficiency or forecast encompassing is tested among alternative pork production forecasts using the method proposed by Harvey and Newbold. One-, two-, and three-quarter ahead pork production forecasts made by the United States Department of Agriculture (USDA), the University of...

This paper examines the performance of alternative models in estimating systematic risk in the oil industry, considering the traditional market model, three time-varying models, and some combination methods of individual models. This study uses the world's top 10 oil firms’ data series to find...