applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

multi-step out-of-sample forecasting competition. It turns out that forecasts are improved substantially when allowing for …

walk model suggests that the forecasting performance of the monetary model is superior. …

story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of … models are inferior in ex-ante forecasting a crisis. Surprisingly however, it turned out that not all but those models which … only detect the turning point of the Austrian business cycle early in 2008 but they also succeeded in forecasting the …

inflation for estimating an area-wide measure of the output gap. In the proposed multi-country framework we moreover allow for … the common euro area output gap component as a means to explaining movements in both output and inflation over time, the … an out-of-sample forecasting exercise, the paper shows that the proposed approach performs well as compared to other well …

volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate …

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … for forecasting weekly and monthly horizons. …