The New Keynesian Phillips Curve, as a structural model of inflation dynamics, has mostly been used to explain past inflation developments, but has hardly been used for forecasting purposes. We propose a method of forecasting inflation based on the present-value formulation of the hybrid New...

This paper estimates a switching autoregressive conditional heteroskedastic time series model for returns on the daily German stock market index. Volatility clustering is captured by persistent periods of different volatility levels and by the dependence on past innovations. We introduce a...

We propose to use the attractiveness of pooling relatively short time series that display similar dynamics, but without restricting to pooling all into one group. We suggest estimating the appropriate grouping of time series simultaneously along with the group-specific model parameters. We cast...

This paper estimates a switching autoregressive conditional heteroskedastic time series model for returns on the daily German stock market index. Volatility clustering is captured by persistent periods of different volatility levels and by the dependence on past innovations. We introduce a...