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Point, interval and density forecasts of exchange rates with time-varying parameter models

Abbate, Angela; Marcellino, Massimiliano - 2016

We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...

Persistent link: https://www.econbiz.de/10011489395

Forecasting inflation: Phillips Curve effects on services price measures

Tallman, Ellis W.; Zaman, Saeed - 2016 - Revision 1, (2016)

Persistent link: https://www.econbiz.de/10011546784

Large vector autoregressions with stochastic volatility and flexible priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2016

Persistent link: https://www.econbiz.de/10011549652

Markov-switching three-pass regression filter

Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - 2016 - This version: November, 2016

Persistent link: https://www.econbiz.de/10011805831

Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model

Casarin, Roberto; Foroni, Claudia; Marcellino, Massimiliano - 2016 - This version: October 31, 2016

Persistent link: https://www.econbiz.de/10011806012

Endogenous uncertainty

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2018

Persistent link: https://www.econbiz.de/10011878268

Combining survey long-run forecasts and nowcasts with BVAR forecasts ssing relative entropy

Tallman, Ellis W.; Zaman, Saeed - 2018

Persistent link: https://www.econbiz.de/10011878528

Forecasting inflation: Phillips curve effects on services price measures

Tallman, Ellis W.; Zaman, Saeed - 2015

Persistent link: https://www.econbiz.de/10011386639

Real-time nowcasting with a bayesian mixed frequency model with stochastic volatility

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2012

Persistent link: https://www.econbiz.de/10009661312

Forecasting macroeconomic variables using diffusion indexes in short samples with structural change

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - 2008

Persistent link: https://www.econbiz.de/10003913416

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