The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated … rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this … beneficial for forecasting. Forecasts based on the original series are compared to forecasts based on logs. It is found that it … substantial forecasting improvements from taking logs are found if the log transformation actually stabilizes the variance of the …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …