Purpose – The purpose of this paper is to propose and test empirically an inflation model containing permanent and transitory heteroskedastic components for the G7 countries. More specifically, recent evidences from the literature are gathered to construct a model with a heteroskedastic global...

A novel multivariate factor GARCH specification is used to obtain conditional covariance matrices of minimum variance portfolios containing a very large number of assets. The approach allows for time varying factor loads, and achieves great flexibility by allowing alternative specifications for...

Purpose – The purpose of this paper is to propose and test empirically an inflation model containing permanent and transitory heteroskedastic components for the G7 countries. More specifically, recent evidences from the literature are gathered to construct a model with a heteroskedastic global...

This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data. The candidate exchange rate predictors are drawn from (i) macroeconomic ‘fundamentals’, (ii) returns/volatility of asset markets, and (iii) cyclical and confidence...

We develop a numerical procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-Gaussian state-space models. The procedure employs continuous approximations of filtering densities, and delivers unconditionally optimal global approximations of...