investment strategies in new power plants and grid interconnections. Implementing Reg-ARFIMA–GARCH models, we assess the … forecasting performance of selected models showing that they perform better when these factors are considered. …

This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting … only across regimes. In practice, where information on structural breaks is uncertain, a forecasting procedure based on … experiments and an empirical application to forecasting real GDP using the yield curve across nine industrial economies. …

We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH … nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models. …

large number of forecasting models have been designed to forecast crude oil prices' volatility, so far the relative … performance evaluation of competing forecasting models remains an exercise that is unidimensional in nature. To be more specific …

exhibiting leptokurtosis, asymmetry, and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral …

exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral …

We present the results of an extensive study on estimation and forecasting of the long-term seasonal component (LTSC … are significantly better in terms of forecasting spot prices up to a year ahead than the commonly used monthly dummies and …