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Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts

Zhang, Bo; Chan, Joshua; Cross, Jamie - In: International journal of forecasting 36 (2020) 4, pp. 1318-1328

Persistent link: https://www.econbiz.de/10012546706

Forecasting Random Walks under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012714199

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

Persistent link: https://www.econbiz.de/10012756639

Does capacity utilization predict inflation? : a wavelet based evidence from United States

Bahramian, Pejman; Saliminezhad, Andisheh - In: Computational economics 58 (2021) 4, pp. 1103-1125

Persistent link: https://www.econbiz.de/10012697888

Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend

McKnight, Stephen; Mihailov, Alexander; Rumler, Fabio - In: Economic modelling 87 (2020), pp. 383-393

Persistent link: https://www.econbiz.de/10012416768

One-period joint forecasts of Polish inflation, unemployment and interest rate using Bayesian VEC-MSF models

Wróblewska, Justyna; Pajor, Anna - In: Central European journal of economic modelling and … 11 (2019) 1, pp. 23-45

Persistent link: https://www.econbiz.de/10012294550

Forecasting macroeconomic variables under model instability

Pettenuzzo, Davide; Timmermann, Allan - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 183-201

Persistent link: https://www.econbiz.de/10011704162

Forecasting structural change and fat-tailed events in Australian macroeconomic variables

Cross, Jamie; Poon, Aubrey - In: Economic modelling 58 (2016), pp. 34-51

Persistent link: https://www.econbiz.de/10011647028

Adaptive models and heavy tails with an application to inflation forecasting

Delle Monache, Davide; Petrella, Ivan - In: International journal of forecasting 33 (2017) 2, pp. 482-501

Persistent link: https://www.econbiz.de/10011922921

Using the hybrid Phillips curve with memory to forecast US infllation

Chu, Shiou-Yen; Shane, Christopher - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 4, pp. 1-16

Persistent link: https://www.econbiz.de/10011755440