applications respectively on macroeconomic series, with a particular focus on different measures of inflation, and on financial … asset returns. Our model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the … Factor Models ; Multivariate GARCH ; Conditional Covariance ; Inflation Forecasting ; Volatility Forecasting …

inflation dynamics …

applications respectively on macroeconomic series, with a particular focus on different measures of inflation, and on financial … asset returns. Our model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the …

The paper presents forecasts of headline and core inflation in Estonia with factor models in a recursive pseudo out … large dataset are best suited for forecasting headline inflation. The results also show that models with a larger number of …, core inflation. …