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The forecasting literature has identified three important and broad issues: the predictive content is unstable over … forecasting variables before use. We thus cut-out the low frequency components and show, in simulations and on financial data …
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This paper presents the main improvements carried out to the macroeconometric model MZE since its creation in 2003. We have back-calculated the series over the period 1980-1995, in order to make the model more stable. To our knowledge, this paper is the first application of Kllians (1998) method...
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Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns....
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model-free methods of volatility forecasting do not exist any more than do arbitrage opportunities (free lunches) in …
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MASCOTTE is the new version of the Banque de France's macro-econometric forecasting model. Following the last rebasing …
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So as to better understand households' consumption behaviour, the composition of incomes was not as regarded as wealth structure. Since the 80s in France, the former has dramatically changed though, retirement and unemployment transfers taking a heavier weight. Various reasons can justify that...
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