We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to …, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and …

1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory …

even more pronounced at longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared … spatial dependence structure into regional forecasting models, especially, when long-term forecasts are made. …

In this paper, we evaluate the forecasting ability of 115 indicators to predict the housing prices and rents in 71 … tested in a framework of a quasi out-of-sample forecasting. Its results are quite heterogeneous. No single indicator appears …

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The … model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence … curve indicate that current inflation also depends on past inflation although future expectations dominate. The implied …

inflation. We find that sentiment indicators are competitive in providing inflation forecasts against a large set of common …

useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this … liquidity ; inflation ; international spillovers …

, linking nominal interest rates to inflation; however, there is no evidence of the full adjustment of the former to the latter …

means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting … on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …