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Forecast uncertainties in macroeconometric modelling : an application to the UK economy

Garratt, Anthony; Lee, Kevin C.; Pesaran, M. Hashem - 2000

intervals. Probability forecasts relating to UK output growth and inflation, obtained using a small macroeconometric model, are … presented. We discuss in detail the probability that inflation will fall within the Bank of England's target range and that … insights on the interrelatedness of output growth and inflation outcomes at different horizons. …

Persistent link: https://www.econbiz.de/10001539419

Forecast uncertainties in macroeconometric modelling : an application to the UK economy

Garratt, Anthony (contributor) - 2000

Persistent link: https://www.econbiz.de/10001480588

Forecast uncertainties in macroeconomic modeling : an application to the UK economy

Garratt, Anthony; Lee, Kevin C.; Pesaran, M. Hashem; … - In: Journal of the American Statistical Association : JASA 98 (2003) 464, pp. 829-838

Persistent link: https://www.econbiz.de/10001971275

Forecast uncertainties in macroeconometric modelling : an application to the UK economy

Garratt, Anthony (contributor) - 2000

Persistent link: https://www.econbiz.de/10001492671

Identifying high-frequency shocks with Bayesian mixed-frequency VARs

Paccagnini, Alessia; Parla, Fabio - 2021

Persistent link: https://www.econbiz.de/10012792759

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

Persistent link: https://www.econbiz.de/10011990919