direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and … documented by Monte Carlo experiments. An empirical application to modelling of real GDP growth and investment-output ratios …

variables (typically the output gap) and solving the model for inflation in terms of the observables. In practice, the equation …, e.g. for output, are usually estimated by some statistical procedure such as the Hodrick-Prescott (HP) filter that might … output gaps should enter the Phillips curve. This paper examines these three issues and argues that all three benefit from a …