inflation process is well described by an unobserved component trend-cycle model with stochastic volatility or, equivalently, an …Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting … inflation is a key job for economists at the Federal Reserve Board. This paper examines whether this job has become harder and …

volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically … forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility …

-sample parameter estimates and pronounced intertemporal volatility persistence. Meanwhile, when judged by standard forecast evaluation …Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …

choosing between the various models. None of the models perform well in a conventional test of forecast efficiency …

This paper examines old and new evidence on the predictive performance of asset prices for inflation and real output … prices predict either inflation or output growth in some countries in some periods. Which series predicts what, when and …

(t) must be less than the variance of innovations in a forecast of the discounted sum of current and future dividends …