In the prediction of quantiles of daily Standard&Poor’s 500 (S&P 500) returns we consider how to use high-frequency 5-minute data. We examine methods that incorporate the high frequency information either indirectly, through combining forecasts (using forecasts generated from returns sampled...

We examine the Stein-rule shrinkage estimator for possible improvements in estimation and forecasting when there are many predictors in a linear time series model. We consider the Stein-rule estimator of Hill and Judge (1987) that shrinks the unrestricted unbiased ordinary least squares (OLS)...

We study the impact of the system dimension on commonly used model selection criteria (AIC, BIC, HQ) and LR based general to specific testing strategies for lag length estimation in VARs. We show that AIC's well known overparameterization feature becomes quickly irrelevant as we move away from...