This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …

returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …

surface types. We finally show that our proposed model can also be effective in forecasting. We provide evidence that our … model significantly outperforms existing models in the forecasting of tennis match results. …

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 …