The aim of this paper is to investigate the evidence and implications of time-variation and asymmetry in the persistence of U.S. inflation. We evaluate these features by comparing the out-of-sample forecast performance of two specifications, a Quantile Auto-Regressive (QAR) model and a...

In this paper we investigate the relevance of considering a large number of macroeconomic indicators to forecast the complete distribution of a variable. The baseline time series model is a semi-parametric specification based on the Quantile Auto-Regressive (QAR) model that assumes that the...

The aim of this paper is to forecast (out-of-sample) the distribution of financial returns based on realized volatility measures constructed from high-frequency returns. We adopt a semi-parametric model for the distribution by assuming that the return quantiles depend on the realized measures...