The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. A basic principle of model-free prediction is laid out based on the...

This paper tests whether it is possible to improve point, quantile and density forecasts of realized volatility by conditioning on macroeconomic and financial variables. We employ quantile autoregressive models augmented with a plethora of macroeconomic and financial variables. Complete subset...