Inflation in the European Monetary Union is measured by the Harmonized Indices of Consumer Prices (HICP) and it can be analysed by breaking down the aggregate index in two different ways. One refers to the breakdown into price indexes corresponding to big groups of markets throughout the...

This paper discusses the building process and models used by Red Eléctrica de España (REE), the Spanish system operator, in short-term electricity load forecasting. REE's forecasting system consists of one daily model and 24 hourly models with a common structure. There are two types of...

This paper focuses on the provision of consistent forecasts for an aggregate economic indicator, such as a consumer price index and its components. The procedure developed is a disaggregated approach based on single-equation models for the components, which take into account the stable features...

The reduced form of the local level model with conditionally heteroscedastic GARCH(1,1) noises is analyzed. We show that the IMA-GARCH model is a good alternative but its conditional heteroscedasticity is weaker than this of the unobserved disturbances.