other sources of information. The combination weights are time-varying and may depend on past predictive forecasting … Monte Carlo algorithms to filter the time-varying combination weights. The DeCo procedure has been implemented both for … with a speed up of the execution time up to seventy times compared to a standard CPU Matlab implementation on a multicore …

We propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. Our model is …

The restrictions implied by the theory of time-consistent monetary policy are imposed on empirical data. Model …

obtained from a medium-size dynamic factor model of a set of coincident time series handling mixed frequencies of observation … data as they become available in real time. The GDP density estimates for the output and expenditure approach are combined …

Carlo simulation studies. Finally, we apply our proposed estimator in a simulated real-time forecasting exercise to test its …

An important issue in modelling economic time series is whether key unobserved components representing trends … scheme. The paper conducts an extensive empirical application on a large and representative set of monthly time series …, either in the form of a time-varying level, or, less frequently, of a stochastic slope, or both. Seasonality is a more stable …

Disagreement in inflation expectations observed from survey data varies systematically over time in a way that reflects …