We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of GARCH-MIDAS models suggested in Engle et al. (2013). In those models volatility is decomposed into a short-term GARCH component and a long-term component that is driven by...

Economic variables are often reported on different scales or with measurement error, e.g. in macroeconomic and financial applications. We examine the sensitivity of scoring rules for distribution forecasts in two dimensions: linear rescaling of the data and the influence of noise on the forecast...

Low-volatility investing is typically implemented by sorting stocks based on simple risk measures; for example, the empirical standard deviation of last year's daily returns. In contrast, we understand identifying next-month's ranking of volatilities as a forecasting problem aimed at the ex-post...