-of-sample forecasting performance of these Markov Regime Switching models is lacking somewhat, a result which is thought to be a consequence …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal … applications of the Bayesian estimation of GARCH models. We show how agents facing different risk perspectives can select their …

, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to …

, Granger causality tests, and an out-of-sample forecasting exercise with 18 competing models with a forecast horizon of 14 days …

heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … ability (SPA) test, we evaluate and compare their forecasting performance at short and long horizons. The empirical results …. However, the new MSM model comes out as the model that most often across forecasting horizons and subsamples cannot be …