over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …

, namely, GARCH (1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists …

This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for GARCH models under …

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

(asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We … variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk …

-of-sample, for daily returns on the Standard & Poor's100 index. Similar studies have been undertaken with GARCH models where … returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …