This article proposes an adaptive forecast combination procedure, denoted as AEC, that tends to be similar to the use of the best available predictor in a time varying environment. In addition, a two-step procedure is proposed to allow the use of alternative combination procedures. In the first...

We propose a new conditionally heteroskedastic factor model, the GICA-GARCH model, which combines independent component analysis (ICA) and multivariate GARCH (MGARCH) models. This model assumes that the data are generated by a set of underlying independent components (ICs) that capture the...