pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …

pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …

forecasting is the connection starting from the change points. This "good knowledge" about the dynamic connection is conducive to …

inflation and is shown to be Granger-causal for euro area inflation in an out-of-sample forecasting exercise. In part, this …

models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the …

inflation and is shown to be Granger-causal for euro area inflation in an out-of-sample forecasting exercise. In part, this … liquidity ; euro area ; inflation ; monetary policy ; interest rate channel ; forecasting accuracy. …

A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under …-switching Multifractal model (MSM). The MC study enables to compare the relative forecasting performance of models, which account for … single models. -- Monte Carlo simulations ; volatility forecasting ; long memory ; multifractality ; stochastic volatility …