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-linear effects is of extremeimportance to improve forecasting performance. U.S. and U.K. asset return data are “special” in thesense …
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Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the...
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