This study aims to introduce an ideal model for forecasting crude oil price volatility. For this purpose, the …

directional component of the market returns because, for investment purposes, forecasting the direction of return correctly is … in forecasting the direction of the market return. Finally, we test trading strategies and find that a number of industry …

, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …

n this paper I compare different models, a linear and a non-linear one, for forecasting industrial production by means … promising, as the forecasting performance shows a clear improvement over the linear parametric model. …

terms of the forecasting performance of the FCI. Additionally, Bayesian model averaging can improve in specific cases the …

Regressive Fractionally Integrated Moving Average model which is based on Fractional Integration Approach) in forecasting daily …-of-sample forecasting performance. Besides, fractal markets hypothesis was examined and according to the findings, fractal structure was … network model had the best performance in out-of-sample forecasting based on the criteria introduced for calculating …

We propose the use of Google online search data for nowcasting and forecasting the number of food stamps recipients. We … perform a large out-of-sample forecasting exercise with almost 3000 competing models with forecast horizons up to 2 years …

We analyse the multihorizon forecasting performance of several strategies to estimate the stationary AR(1) model in a … driftless random walk (RW). In addition, we explore the forecasting performance of pairwise combinations between these …