the beginning of 2018. They also have performed well in forecasting the direction of inflation. In terms of the …

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square …

statistical averaging effect. Finally the out-of-sample forecasting performance of both approaches is evaluated. The results point …

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The … asset returns. Our model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the …

We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting … for estimating the model parameters. In forecasting inflation, the central bank inflation target, if it exists, is a … natural example of such exogenous information. We illustrate the application of our method by an out-of-sample forecasting …

as a pseudo real time forecasting exercise, i.e. due account is taken of the pattern of available monthly variables over …

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The … asset returns. Our model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the … Factor Models ; Multivariate GARCH ; Conditional Covariance ; Inflation Forecasting ; Volatility Forecasting …