to follow a Markov switching process might be strictly related to expectations. The authors show that a time series of … expectations of future output from the Survey of Professional Forecasters is the only one among the many they analyze that has … model with shocks to expectations (sunspots) that produces time series with the same properties as the U.S. data. …

suboptimal for forecasting purposes. The paper proposes the use of a class of shrinkage estimators that includes the Ridge … estimator for forecasting time series, with a special attention to GARCH and ACD models. The local large sample properties of …-daily financial durations forecasting application. The empirical application shows that an appropriate shrinkage forecasting …

This paper assesses the performance of volatility forecasting using focused selection and combination strategies to … include relevant explanatory variables in the forecasting model. The focused selection/combination strategies consist of … BIC. The methodology is applied to a daily recursive 1--step ahead value--at--risk (VaR) forecasting exercise of 4 widely …

The aim of this paper is to build a tool for performing forecasting exercises, allowing to obtain a reliable estimate … forecasting of twelve-month percentage variations of the Italian consumer price index. The starting point of the model is the …