filtering of time-varying volatility, and volatility forecasting. Specifically, we make use of the indirect inference method to …

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary … process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields … the problem of forecasting the term structure of interest rates with the assumption that the yield curve is driven by …

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …

in its ability to accurately capture clusters and preserve or enhance forecasting accuracy. For a high …

, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …