We extend the literature on economic forecasting by constructing a mixed-frequency time-varying parameter vector … competitors. In particular, inflation forecasts benefit from this new forecasting approach. Finally, we assess the models …

features of observed data and of forecasting oneperiod ahead output-gap and investment with a remarkable degree of accuracy. …

variables in the model, rather than just on future paths as it is usually done in the conditional forecasting literature. The … forecasting densities of a BVAR and a DSGE model on information about the marginal densities of future oil prices. The results …-inflation over the considered forecasting horizon. Finally, a real-time forecasting exercise yields that introducing market …

that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …