pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

This paper revisits inflation forecasting using reduced-form Phillips curve forecasts, that is, inflation forecasts … evidence of autonomous variance breaks and inflation gap persistence. Through a real-time out-of-sample forecasting exercise … quarterly inflation relative to an extended range of forecasting models that are typically used in the literature. …