We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety …

accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density … nowcasted densities in each period using updated information on the time-varying weights. Experiments with simulated data show … incompleteness. Empirical results, based on US real-time data of 120 leading indicators, indicate that CDN gives more accurate …

paper examines the effectiveness of combining various models of instability in improving VAR forecasts made with real-time …

density forecasting. Accordingly, this paper examines, with real-time data, density forecasts of U.S. GDP growth, unemployment … improves the real-time accuracy of point and density forecasts …

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive … by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MFTVP …