The purpose of this paper is to examine the forecasting ability of sixty-two vintages of revised real-time PCE and core PCE using nonparametric methodologies. The combined fields of real-time data and nonparametric forecasting have not been previously explored with rigor, which this paper...

Contemporary discussions on 2012 U.S Presidential election mention that economic variables such as unemployment rate, inflation, budget deficit/surplus, public debt, tax policy and healthcare spending will be deciding elements in the forthcoming November election. Certain researchers like...

This paper analyzes the performance of central banks in 27 inflation targeting countries by examining their success in achieving their explicit inflation targets. For this purpose, we decompose the inflation gap, the difference between actual inflation and inflation target, into predictable and...

Using AFIRMA-M-HYGARCH model it is found that the structure of temporal profit was observed to change in three periods. Since the second and third periods are associated with lagged effect of heavy handed state intervention, it was possible to get an idea to the effect of such state policy. It...

It is expected that what people are searching for today is predictive of what they have done recently or will do in the near future. This research will analyze the eligibility of Google search data to nowcast tourist arrivals to Prague. The present research will report whether Google data is...

The paper considers univariate and multivariate models to forecast monthly conflict events in the Sudan over the out-of-sample period 2009 – 2012. The models used to generate these forecasts were based on a specification from a machine learning algorithm fit to 2000 – 2008 monthly data. The...

Assuming an ARIMA(p,I,q) model represents the data, I show how optimal forecasts can be computed and derive general expressions for its main properties of interest. Namely, I present stepwise derivations of expressions for the variances of forecast errors, and the covariances between them at...

This paper models time-varying skewness for financial return dynamics. We decompose nancial returns into the product of the absolute returns and signs, so-called the intriguing decomposition. The joint distribution between the decomposed components is modeled through a copula function with...

This paper tests the interconnected form of PPP and UIP while allowing the random component of exchange rate in the specification. We find a significant long-run association among exchange rates, price and interest rate differentials. Besides the PPP and UIP conditions, the previous period...

I evaluate the out-of-sample forecasting performance of five models of Chinese and Indian energy consumption. The results are mixed, but in general the auto-regressive distributed lag and unobserved components models perform the best over multiple evaluation criteria. I then use these two models...