applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …

concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …

shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that …

in forecasting from using bivariate models remained small otherwise. …

new model achieves higher forecasting performance compared to a standard DCC model. …

The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the … under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate …