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Forecasting Value-at-Risk (VaR) in the major Asian economies

Zargar, Faisal Nazir; Kumar, Dilip - In: Theoretical economics letters 8 (2018) 9, pp. 1565-1581

Persistent link: https://www.econbiz.de/10011888646

Measuring macroeconomic uncertainty : an application for Iran

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Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility

Mertens, Elmar; Nason, James Michael - 2018 - Current draft: February 16, 2018

Persistent link: https://www.econbiz.de/10011867086

Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility

Mertens, Elmar; Nason, James Michael - 2017 - Revised version

Persistent link: https://www.econbiz.de/10011746888

Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility

Mertens, Elmar; Nason, James Michael - In: Quantitative economics : QE ; journal of the … 11 (2020) 4, pp. 1485-1520

This paper studies the joint dynamics of U.S. inflation and a term structure of average inflation predictions taken from the Survey of Professional Forecasters (SPF). We estimate these joint dynamics by combining an unobserved components (UC) model of inflation and a sticky‐information...

Persistent link: https://www.econbiz.de/10012316727