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Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models

We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of GARCH-MIDAS models suggested in Engle et al.~(2013). In those models volatility is decomposed into a short-term GARCH component …

Measurement error sensitivity of loss functions for distribution forecasts

Economic variables are often reported on different scales or with measurement error, e.g. in macroeconomic and financial applications. We examine the sensitivity of scoring rules for distribution forecasts in two dimensions: linear rescaling of the …