volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree …

volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree …

Interest rate data are an important element of macroeconomic forecasting. Projections of future interest rates are not … only an important product themselves, but also typically matter for forecasting other macroeconomic and financial variables …. A popular class of forecasting models is linear vector autoregressions (VARs) that include shorter- and longer …

the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …

Small-scale VARs are widely used in macroeconomics for forecasting U.S. output, prices, and interest rates. However …, recent work suggests these models may exhibit instabilities. As such, a variety of estimation or forecasting methods might be … effectiveness of such methods in real time forecasting. We use forecasts from univariate time series models, the Survey of …