The forecasting literature has identi ed two important issues: (i) several predictors have substantial and … learned about forecasting in the presence of instabilities. The empirical evidence raises a multitude of questions. If in …-sample tests provide poor guidance to out-of-sample forecasting ability, what should researchers do? If there are statistically …

Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the …