underpredict when the observed inflation rate at the time of forecasting is higher than an estimated threshold of 1.8%. The bias is … most pronounced at intermediate forecasting horizons. This suggests that inflation is projected to revert towards the … target too quickly. These results cannot be fully explained by the persistence embedded in the forecasting models nor by …

both point and density forecasting performance over the sample 2011Q4-2020Q1. Our results show that MIDAS regressions with …

distinguishing whether the inflation observed by the ECB at the time of forecasting is above or below the target. The forecasts are …. Our findings bear important implications for the ECB forecasting process and ultimately for its communication strategy. …

Aggregate demand forecasting, also known as nowcasting when it applies to current quarter assessment, is of notable … indicate that the MIDAS regressions demonstrate comparable forecasting performance to that of MF-VAR model. Moreover, it is …

their forecasting performance. Our findings reveal significant heterogeneity in ETM volatility patterns, which challenge …

forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …

focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding. …

Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models … models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation … to individual models' forecasts. Our results point to three important conclusions. First, the forecasting accuracy of the …

tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression … power in many practical situations and therefore frequently selects incorrect forecasting models. The empirical results …