We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis … forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence for the finite … unbalanced panel contain quarterly and monthly variables. The forecasting accuracy is measured against a set of benchmark models …

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

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary … process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields … the problem of forecasting the term structure of interest rates with the assumption that the yield curve is driven by …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …