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Assessing the prudence of economic forecasts in the EU (replication data)
We estimate the EU Commission loss preferences for major economic forecasts of 12 Member States. Based on a recently proposed method by Elliott, Komunjer and Timmermann (2005)... -
Does the option market produce superior forecasts of noise-corrected volatili...
This paper assesses the robustness of the relative performance of spot? and options-based volatility forecasts to the treatment of microstructure noise. Robustness of the...
