uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with … particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error …

variables that we predict are output growth and inflation, two representative variables from our set of indicators that are … macroeconomic indicators (not including spreads) perform best when forecasting inflation in non-volatile time periods, while …

impact of these shocks on economic growth. This paper reviews the literature on macroeconomic vulnerability and finds that …

used to obtain a nowcast for GDP growth in the first quarter and an outlook until the third quarter 2021. We purge the …. These monthly shocks are included in a univariate model for quarterly GDP growth to capture timely, current …-quarter unexpected changes in growth dynamics. Included shocks explain additionally 24% in GDP growth variation. The model is able to …

The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the … Federal Reserve Bank of Chicago. This guide describes its specification, estimation, dynamic characteristics, and how it is …

forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …