Very often in actual macroeconomic time series there are causes that disrupt the underlying stochastic process and their treatment is known as «linearization». In addition, variance non-stationarity is in many cases also present in such series and is removed by proper data transformation. The...

This paper proposes an accurate, parsimonious and fast-to-estimate forecasting model for integer-valued time series with long memory and seasonality. The modelling is achieved through an autoregressive Poisson process with a predictable stochastic intensity that is determined by two factors: a...

One of the most important risks in the actuarial industry is the longevity risk. The accurate prediction of mortality rates plays a crucial role in the management of the aforementioned risk. Such predictions are performed by modelling the mortality rates using mortality models. Aiming at...

This paper proposes an international collaboration between researchers in academia and policymaking institutions to stimulate and coordinate research on probability forecasting in macroeconomics, developing a toolbox for short-term prediction. The toolbox should include time series models,...