We analyze real-time forecasts of US inflation over 1999Q3-2019Q4 and subsamples, investigating whether and how forecast accuracy and robustness can be improved with additional information such as expert judgment, additional macroeconomic variables, and forecast combination. The forecasts...

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a...

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...