Forecast combination with an application to financial tail risk

Lukas Bauer

University of Freiburg, Deutschland

GDP nowcasting with large-scale inter-industry payment data in real time--A network approach

Kerstin Hötte, Anastasia Mantziou, Gesine Reinert, Mihai Cucuringu

KEDGE Business School, France

Forecasting Bond Returns With a Copula-Based Dynamic Factor Pricing Model

Yarema Okhrin², Maziar Sahamkhadam¹, Andreas Stephan¹

1: Linnaeus University, School of Business and Economics, Sweden; 2: Augsburg University

Stagewise crop yield prediction with multisource functional indices

Jing Zou^1,2, Ostap Okhrin^1,2

1: Technische Universität Dresden, Germany; 2: Center for Scalable Data Analytics and Artificial Intelligence (ScaDS.AI) Dresden/Leipzig

Realized Covariance Modeling by Logarithmic Transformations and Dimensionality Reduction

Ilya Archakov¹, Roxana Halbleib², Jasper Rennspies²

1: York University, Canada; 2: University of Freiburg, Germany

Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models

Wanbo Lu¹, Kris Boudt^2,3,4, Guanglin Huang¹

1: SWUFE; 2: Universiteit Gent, Belgium; 3: Vrije Universiteit Brussel; 4: Vrije Universiteit Amsterdam

Combining Portfolio Rules to Improve Prediction of Global Minimum Variance Portfolio Weights

Vasyl Golosnoy¹, Bastian Gribisch², Wolfgang Schmid³, Miriam Isabel Seifert¹

1: Ruhr-Universität Bochum, Deutschland; 2: Universität zu Köln; 3: bastian.gribisch@statistik.uni-koeln.de

Decomposing Price-Energy in Germany and China’s Divergent Electricity Markets using STL and Multivariate Functional Data Analysis

Miao Yu, Philipp Sibbertsen

Leibniz University Hannover, Germany

Go with the Flow? Forecasting Regime Switches in Wind Direction

Chris Fotso¹, Andrew Harvey², Yeliz Özer¹, Dario Palumbo³, Philipp Sibbertsen¹

1: Leibniz Universität Hannover, Institut für Statistik, Deutschland; 2: Faculty of Economics, University of Cambridge, United Kingdom; 3: Homerton College, University of Cambridge, United Kingdom

Sparsity and Fusion Penalization in Large Vector Autoregressions

Daniel Dzikowski, Carsten Jentsch

TU Dortmund University, Deutschland

Probabilistic forecasting and forecast reconciliation for wind power production

Sven Pappert, Antonia Arsova

TU Dortmund University, Germany

Monitoring time-varying tail risk with the extended Generalized Pareto distribution

Carlotta Pacifici¹, Luca Trapin²

1: Bocconi University, Italy; 2: University of Bologna, Italy

Expected Shortfall LASSO

Sander Barendse

University of Amsterdam, Netherlands, The

Nuclear Hedging Portfolios: Shrinking Complexity for Robust Diversification

Alberto Quaini

Erasmus University, Niederlande