short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …