model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

implications arise from the dependence of forecast performance on nuisance parameters. Depending on these nuisance parameters … distortion in inference in such models is reviewed. Finally, forecast evaluation for these problems is discussed. …

need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …