forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and …

forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and …

models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across …

models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across …

, their local-factor SVF model is not powerful enough in forecasting Asian volatility. This has led us to propose an extension …

, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is … allows both the forecasting model and the coefficients to change over time. Based on this framework, we systematically … measure of the forecasting performance. We carefully assess which predictors are relevant for forecasting at different points …

, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is … allows both the forecasting model and the coefficients to change over time. Based on this framework, we systematically … measure of the forecasting performance. We carefully assess which predictors are relevant for forecasting at different points …

monthly to daily observations on exchange rates. Thus the basic thrust of the paper is to analyse the forecasting accuracy of …