components, and innovations to trend and gap inflation are affected by stochastic volatility. A novelty of our model is to allow …This paper studies the joint dynamics of U.S. inflation and a term structure of average inflation predictions taken … (UC) model of inflation and a sticky‐information forecast mechanism. The UC model decomposes inflation into trend and gap …

dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …