In this paper, we analyze the forecasting performance of several parametric extensions of the popular Dynamic Nelson-Siegel (DNS) model for the yield curve. Our focus is on the role of additional and time-varying decay parameters, conditional heteroscedasticity, and macroeconomic variables. We...

We assess the extent to which the imposition of a no-arbitrage restriction on the dynamic Nelson-Siegel model helps obtaining more accurate forecasts of the term structure. For that purpose, we provide an empirical application based on a large panel of Brazilian interest rate future contracts...

We devise a novel approach to combine predictions of high dimensional conditional covariance matrices using economic criteria based on portfolio selection. The combination scheme takes into account not only the portfolio objective function but also the portfolio characteristics in order to...

In this paper we look into the interaction of Google's search queries and several aspects of international equity markets. Using a novel methodology for selecting words and a VAR modeling approach, we study whether the search queries of finance related words can have an impact on market...

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict one-step-ahead...