reduced-form inflation modeling and forecasting, we specify a range of models of inflation that incorporate different trend … specifications. We compare the models on the basis of their accuracies in out-of-sample forecasting, both point and density. Our …

specification in differences. In this paper, we examine the forecasting performance of the FECM by means of an analytical example …, Monte Carlo simulations and several empirical applications. We show that FECM generally offers a higher forecasting … precision relative to the FAVAR, and marks a useful step forward for forecasting with large datasets. …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Significantly driven by JP Morgan's RiskMetrics system with EWMA (exponentially weighted moving average) forecasting … proposed skewed-EWMA method offers a viable improvement in forecasting VaR. …

expectations, the model can generate excess volatility of stock prices, time-varying volatility of returns, long …