-sample fit and out-of-sample predictive ability for the whole conditional density. We consider Skew-Normal, Skew-Student, Skew … conditional density models in sample and out of sample. The models are ranked according to their quality of fit and predictive … ability. We discuss the causes behind superiority of this or that density specification. …

choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over … a wide range of window sizes. We show that the tests proposed in the literature may lack power to detect predictive … ability, and might be subject to data snooping across different window sizes if used repeatedly. An empirical application …