We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier …

-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds … extensions improve the density forecasts of real GDP and inflation and their joint forecasts up to an eight-quarter horizon. We … find that adding financial frictions leads to a deterioration in the forecasts, with the exception of longer-term inflation …

Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as … horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation …

financial data has become more desirable, especially in cases of Value at Risk (VaR) and Expected Shortfall (ES) predictions … (STI), Malaysia (FTSE), Philippines (PSEI), and Indonesia (PCI). Data samples were observed as quarterly trends between … 1994 and 2019. Bayesian statistics and simulations were applied to present estimations' outputs. Empirically, quantum …