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

, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

"><I>Journal of Applied Econometrics</I></A>, 2014, 29, pages 693-712.<P> Many economic studies on inflation forecasting have found … existing studies on interest rate forecasting either treat yields as being stationary, without any shifting endpoints, or treat … yields as a random walk process. In this study we consider the problem of forecasting the term structure of interest rates …

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 …

forecasting standpoint. …

-term forecasting models. These empirical findings have been established for different data sets and for different forecast horizons …-of-sample forecasting competition for the euro area and its five largest countries over the period 1992-2012. Besides, we introduce two … extensions to the existing factor models to make them more suited for real-time forecasting. We show that the factor models were …

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