Forecast Combination Across Estimation Windows

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A Comprehensive Look at Financial Volatility Prediction by Economic Variables (2011, unknown): “The seminal paper on the economic determinants of equity market volatility is Schwert (1989). While his findings point towards countercyclical movements of stock market volatility, the link between volatility and economic activity is not found to be very strong from a statistical perspective.”
Optimal forecasts in the presence of structural breaks (2011, background): “Pesaran et al. (2011) show that accounting for the overlap of observations can lead to gains in forecast accuracy but that these gains materialize at forecast horizons that are larger than those considered here.”
Adaptive models and heavy tails with an application to inflation forecasting (2017, background): “Pesaran and Pick (2011), Pesaran, Pick, and Pranovich (2013) and Pesaran and Timmermann (2007) focus on optimal weighting schemes in the presence of structural breaks.”