Since the adoption of inflation targeting, the seasonal appears to be the component that explains the major part of inflation's total variation in Mexico. In this context, we study the performance of seasonal time series models to forecast short-run inflation. Using multi-horizon evaluation...

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...

We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier. Next, a second...

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...

The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...

Using aggregate quarterly data for the period 1975q1-2010q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly unstable regime at the beginning of the previous decade. My results indicate that these imbalances could have been...

This paper presents new econometric specifications for the Brazilian exports in the period 1995-2009 using data from the Quarterly Accounts and allowing for nonlinearities. In the cointegrating vector, there is evidence of a level shift, but the elasticities have not changed significantly. The...

This paper shows new econometric estimates for the Brazilian function of aggregate imports. Besides the basic relation, which includes income and relative price and identifies a demand equation (canonic model), we explore the pronounced co-movements between total imports, household consumption...

This paper presents new econometric specifications for the quarterly behavior of the aggregate consumption of Brazilian households in the 1995-2009 period. It is argued, in particular, that the use of quarterly measures of both private disposable income (in chained 1995 prices) and the credit...