Out-of-sample forecast evaluation (DM, MCS)

Beyond Hedonic Models: Spatiotemporal, Hierarchical and Probabilistic Architectures for Residential Real Estate Price Forecasting

A pseudo-real-time evaluation on 632,000 Quebec transactions and 82 local market indices, 2021–2026

Simon-Pierre Boucher · UQO Working Papers · October 2026 · v1.1

This paper asks whether new forecasting architectures improve residential price forecasts over strong conventional methods, and under which conditions. Using the audited Quebec land-registry sample of UQO Working Paper 22 (632,006 sales, 2021–2026) and its real-time quality-adjusted index vintages, it defines three…

Forecasting Realized Volatility Across Asset Classes: HAR, GARCH, and Machine Learning in a Unified Multi-Asset Horse Race, 2013–2026

Simon-Pierre Boucher · UQO Working Papers · October 2026 · v0.2

The paper compares 27 forecasts of daily realized variance (six HAR specifications, GARCH, GJR, EGARCH and Realized GARCH, penalized regressions, random forests, XGBoost and LightGBM on two information sets, an LSTM, a Transformer, a LightGBM pooled across assets, and two combinations) on 25 liquid instruments from…