forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …

filtering of time-varying volatility, and volatility forecasting. Specifically, we make use of the indirect inference method to …

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

forecasting. To further improve the forecasting, we modify our calibration approach by increasing the trader information set …

forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this … sign and probability forecasts. Finally, we highlight that the forecasting performance of the estimated models is time-varying. …