The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …

forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …

This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …

forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …