Combinations of point forecasts from expert forecasters are known to frequently outperform individual forecasts. It is also well documented that combination by simple averaging very often has performance superior to that of more sophisticated combinations. This empirical fact is referred to as...

In applied forecasting, there is a trade-o between in-sample t and out-of-sample forecast accuracy. Parsimonious model specifi cations typically outperform richer model speci fications. Consequently, there is often predictable information in forecast errors that is di cult to exploit. However,...

The Heterogeneous Autoregressive (HAR) model of Corsi (2009) has become the benchmark model for predicting realized volatility given its simplicity and consistent empirical performance. Many modifications and extensions to the original model have been proposed that often only provide incremental...