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Forecasting structural change and fat-tailed events in Australian macroeconomic variables

Cross, Jamie; Poon, Aubrey - In: Economic modelling 58 (2016), pp. 34-51

Persistent link: https://www.econbiz.de/10011647028

Large stochastic volatility in mean VARs

Cross, Jamie; Hou, Chenghan; Koop, Gary; Poon, Aubrey - In: Journal of econometrics 236 (2023) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10014332245

Macroeconomic forecasting with large stochastic volatility in mean VARs

Cross, Jamie; Hou, Chenghan; Koop, Gary; Poon, Aubrey - 2021

Persistent link: https://www.econbiz.de/10012628432

Stochastic Volatility Models with ARMA Innovations an Application to G7 Inflation Forecasts

Zhang, Bo - 2018

We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a conventional dynamic regression. The ARMA component introduces serial...

Persistent link: https://www.econbiz.de/10012913784

Stochastic Volatility Models with ARMA Innovations : An Application to G7 Inflation Forecasts

Zhang, Bo - 2018

Persistent link: https://www.econbiz.de/10012915821

On the contribution of international shocks in Australian business cycle fluctuations

Cross, Jamie; Poon, Aubrey - In: Empirical economics : a journal of the Institute for … 59 (2020) 6, pp. 2613-2637

Persistent link: https://www.econbiz.de/10012491245

Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts

Zhang, Bo; Chan, Joshua; Cross, Jamie - In: International journal of forecasting 36 (2020) 4, pp. 1318-1328

Persistent link: https://www.econbiz.de/10012546706

Time-varying trend models for forecasting inflation in Australia

Guo, Na; Zhang, Bo; Cross, Jamie - In: Journal of forecasting 41 (2022) 2, pp. 316-330

Persistent link: https://www.econbiz.de/10012817762