We propose two simple evaluation methods for time varying density forecasts of continuous higher dimensional random variables. Both methods are based on the probability integral transformation for unidimensional forecasts. The first method tests multinormal densities and relies on the rotation...

We propose a novel and easy-to-implement framework for forecasting correlation risks based on a large set of salient realized correlation features and the sparsity-encouraging LASSO technique. Considering the universe of S&P 500 stocks, we find that the new approach manifests in statistically...

In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify the pro-cyclicality of the current way financial...

Finance professionals must frequently forecast financial statements. The common practice for forecasting financial statements is to apply the percentage of sales method. In this paper, we develop a new method for forecasting financial statements based data available from The Risk Management...

In this paper, we provide new empirical evidence of the relative usefulness of interval (density) and point forecasts of asset-return volatility, in the context of financial risk management using high frequency data. In our evaluation we use both statistical criteria (i.e., accuracy of...

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

In this paper, we ask whether it is possible to forecast gross value-added (GVA) and its sectoral subcomponents at the regional level. With an autoregressive distributed lag model we forecast total and sectoral GVA for one German state (Saxony) with more than 300 indicators from different...

The main objective of this study is to assess the usefulness and rationality of the inflation and unemployment rate forecasts made for Romanian by three experts in forecasting: F1, F2 and F3. All the unemployment rate forecasts over the horizon 2001 - 2013 provided by all experts do not provide...

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several...

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the quadratic variation of financial prices. This estimator was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...